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Verification theorems for models of optimal consumption and investment with annuitization

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  • Park, Seyoung

Abstract

One can find it challenging to deal with verification theorems for optimal consumption and investment problems with annuitization. I pose a tractable framework to prove verification theorems for the problems. I revisit an annuitization model of Park (2015) and prove the verification theorem for the model. A key idea of the proof is the application of the variational inequality approach of Bensoussan and Lions (1982) to the annuitization problem solved by the suggested value function. Further, I obtain analytic comparative statics for the optimal consumption and investment strategies with annuitization.

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  • Park, Seyoung, 2020. "Verification theorems for models of optimal consumption and investment with annuitization," Mathematical Social Sciences, Elsevier, vol. 103(C), pages 36-44.
    • Handle: RePEc:eee:matsoc:v:103:y:2020:i:c:p:36-44
    DOI: 10.1016/j.mathsocsci.2019.11.002
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