Optimal annuitization and asset allocation under linear habit formation

DOI10.1016/j.insmatheco.2023.11.007MaRDI QIDQ6152714

Zongxia Liang, Xingjian Ma, Guohui Guan

Publication date: 13 February 2024

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

zbMATH Keywords

variational inequalitiesdual methodsannuitizationlinear habit formationstopping-control problem

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Regularity theorems for variational inequalities in unbounded domains and applications to stopping time problems
• Annuitization and asset allocation
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Optimal retirement and portfolio selection with consumption ratcheting
• The annuity puzzle and consumption hump under ambiguous life expectancy
• Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
• Demand for non-life insurance under habit formation
• Continuous-Time Markowitz's Model with Transaction Costs
• Utility Maximization with Discretionary Stopping
• Optimal retirement time under habit persistence: what makes individuals retire early?
• OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM

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