金融工程研究中心学术报告：Optimal retirement, consumption and investment problem with forced unemployment risk and flexible labor supply

In this paper, we consider the optimal retirement, consumption, investment and leisure problem for an individual with unemployment risk. The individual is allowed to choose the labor supply flexibly under a maximum leisure rate. Moreover, his preferences for consumption and leisure are characterized by a constant elasticity of substitution (CES) utility function. By applying the martingale approach and duality method, we derive the optimal consumption-investment-leisure strategy explicitly and obtain the retirement wealth threshold by solving a free boundary problem. Furthermore, we consider the borrowing constraints to extend our results. Finally, numerical analysis shows that the individual with unemployment risk would like to reduce the consumption, leisure and investment in risky assets. We also find that the individual with higher unemployment risk supplies a higher labor rate and the flexible labor supply can hedge a part of the unemployment risk. 赵慧，南开大学南开-泰康保险与精算研究院教授，现任国际自动控制联合会(The International Federation of Automatic Control)社会科学分组技术委员会委员、中国优选法统筹法与经济数学研究会量化金融与保险分会理事，中国现场统计研究会风险管理与精算分会理事,天津市工业与应用数学学会理事。作为项目负责人，主持3项国家自然科学基金项目和1项天津市自然科学基金面上项目。在金融数学和精算领域期刊《European Journal of Operational Research》、《Journal Of Optimization Theory And Applications》、《Insurance: Mathematics and Economics》、《Quantitative Finance》、《Journal of Computational and Applied Mathematics》、《Applied Mathematics and Computation》等发表论文40余篇。曾获第十八届天津市社会科学优秀成果奖三等奖，入选天津市131创新型人才培养工程第三层次人选等。