Optimal post-retirement consumption and portfolio choices with idiosyncratic individual mortality force and awareness of mortality risk

DOI10.1080/03610926.2021.1949473OpenAlexW3195177089MaRDI QIDQ6106191

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Publication date: 27 June 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1949473

zbMATH Keywords

portfolio choiceconsumption decisionmortality risk awarenesspost-retirementstochastic mortality force

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
• The role of longevity bonds in optimal portfolios
• Individual post-retirement longevity risk management under systematic mortality risk
• Longevity-linked assets and pre-retirement consumption/portfolio decisions
• Optimal retirement consumption with a stochastic force of mortality
• Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Subjective mortality risk and bequests
• Lifetime asset allocation with idiosyncratic and systematic mortality risks

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