OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM

DOI10.1142/S0219024906003524zbMath1137.91474MaRDI QIDQ5291317

Gabriele Stabile

Publication date: 10 May 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingstochastic controlasset allocationannuities

Mathematics Subject Classification ID

Related Items (14)

An analytical study of participating policies with minimum rate guarantee and surrender option ⋮ On the sub-optimality cost of immediate annuitization in DC pension funds ⋮ Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase ⋮ Optimal annuitization and asset allocation under linear habit formation ⋮ On the free boundary of an annuity purchase ⋮ Optimal investment-consumption problem: post-retirement with minimum guarantee ⋮ Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan ⋮ Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality ⋮ Optimal investment and consumption decision of a family with life insurance ⋮ Optimal initiation of a GLWB in a variable annuity: no arbitrage approach ⋮ Optimal portfolio, consumption and retirement decision under a preference change ⋮ Optimal investment strategy post retirement without ruin possibility: a numerical algorithm ⋮ Optimal investment, consumption and timing of annuity purchase under a preference change ⋮ Choosing the optimal annuitization time post-retirement

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Optimal asset allocation in life annuities: a note.
• Optimal Stopping of One-Dimensional Diffusions
• Utility Maximization with Discretionary Stopping

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