题 目：Lifetime Consumption Control of Individuals with Time Inconsistent Preferences Subject to a Lifetime Ruin Probability Constraint
主讲人：Jinxia Zhu University of New South Wales Sydney
We investigate a lifetime consumption control problem for individuals who have time inconsistent preferences. Stochastic quasi-hyperbolic discounting is used to formulate the time inconsistency of the decision maker and the control problem is an intra-personal game problem. There is a minimum consumption rate requirement for sustenance, and we intend to seek Markov Equilibrium strategies on additional consumption to maximize the total lifetime consumption under the constraint that the lifetime ruin probability is smaller than a pre-specified level. The ruin probability constraint is to guarantee a high enough likelihood that the individual will be able to sustain the minimum consumption needed throughout the whole lifetime. We identify a Markov Equilibrium strategy on optimal consumption, which is of the barrier type, and find that under such consumption strategy, the probability of spending all the wealth before death equals the maximum (reasonably) pre-specified level.