报告人： Yang Shen（加拿大 York University）
Title: Retirement planning with ambiguous investment and mortality risks
Abstract: In this talk, we discuss the strategic retirement planning problem for a wage earner facing stochastic lifetime. The wage earner aims to decide on the optimal portfolio choice, consumption and insurance buying rules over the pre-retirement phase, but meanwhile she concerns about the uncertainty of financial and mortality models. In order to address the concern, the wage earner considers the optimal decisions under the worst-case scenario selected from a set of plausible alternative models. We find that the investment ambiguity and mortality ambiguity have substantially different impacts on the optimal decisions. Specifically, though the worst-case investment scenario depends only on the financial environment, the design of the worst-case mortality scenario is determined by the intricate interplays between the wage earner's personal profile (e.g., health status, income dynamics, risk aversion, etc.) and the evolution of the financial market. What is more, the study of mortality ambiguity is also closely related to the value of life expectancy which can be positive and negative in general. Such a complicated theoretical structure underlying the risk of mortality ambiguity can sometimes even overturn the direction of its impacts on the optimal decisions. Our paper highlights the importance as well as the complexity for modeling ambiguity aversion in optimal retirement studies, which desires more serious and critical treatments from the community of actuarial professionals.