Optimal allocation to deferred income annuities

DOI10.1016/j.insmatheco.2019.05.001zbMath1431.91333arXiv2111.01234OpenAlexW2964713671MaRDI QIDQ2292184

Yanyan Li

Publication date: 3 February 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.01234

zbMATH Keywords

stochastic optimal controlconsumptionasset allocationretirement incomedeferred income annuities

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05)

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Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Annuitization and asset allocation
• Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
• Optimal Annuity Risk Management*
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting*
• Optimal Investment
• The Calculus of Retirement Income