Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
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DOI: 10.1016/j.jedc.2014.04.008
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References listed on IDEAS
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Cited by:
- Wu, Shang & Stevens, Ralph & Thorp, Susan, 2015. "Cohort and target age effects on subjective survival probabilities: Implications for models of the retirement phase," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 39-56.
- Tiziano Angelis & Gabriele Stabile, 2019.
"On the free boundary of an annuity purchase,"
Finance and Stochastics, Springer, vol. 23(1), pages 97-137, January.
- Tiziano De Angelis & Gabriele Stabile, 2017. "On the free boundary of an annuity purchase," Papers 1707.09494, arXiv.org, revised Jul 2018.
- Hainaut, Donatien, 2015. "Evaluation and default time for companies with uncertain cash flows," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 276-285.
- Maria Alexandrova & Nadine Gatzert, 2019. "What Do We Know About Annuitization Decisions?," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(1), pages 57-100, March.
- Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2023. "Pricing extreme mortality risk in the wake of the COVID-19 pandemic," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 84-106.
- F. Habib & H. Huang & A. Mauskopf & B. Nikolic & T. S. Salisbury, 2021. "Optimal allocation to deferred income annuities," Papers 2111.01234, arXiv.org.
- Hassan Dadashi, 2018. "Optimal investment-consumption problem: post-retirement with minimum guarantee," Papers 1803.00611, arXiv.org, revised Aug 2020.
- Dadashi, Hassan, 2020. "Optimal investment–consumption problem: Post-retirement with minimum guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 160-181.
- Habib, F. & Huang, H. & Mauskopf, A. & Nikolic, B. & Salisbury, T.S., 2020. "Optimal allocation to Deferred Income Annuities," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 94-104.
- Charles I. Nkeki, 2017. "Optimal Investment And Optimal Additional Voluntary Contribution Rate Of A Dc Pension Fund In A Jump-Diffusion Environment," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 1-26, December.
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More about this item
Keywords
Annuity puzzle; Hitting time; Wiener–Hopf factorization; Expected present value;All these keywords.
JEL classification:
- J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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