Optimizing the equity-bond-annuity portfolio in retirement: the impact of uncertain health expenses

DOI10.1016/J.INSMATHECO.2009.08.009zbMath1231.91223OpenAlexW3124443929MaRDI QIDQ659207

Mark Warshawsky, Gaobo Pang

Publication date: 10 February 2012

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

Full work available at URL: https://repository.upenn.edu/cgi/viewcontent.cgi?article=1296&context=prc_papers

zbMATH Keywords

pensionlife cycleannuityprecautionary savingsasset allocationhealth expense

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (9)

The annuity puzzle remains a puzzle ⋮ Tail index-linked annuity: A longevity risk sharing retirement plan ⋮ On the effects of changing mortality patterns on investment, labour and consumption under uncertainty ⋮ Optimal Portfolio Choice with Health-Contingent Income Products: The Value of Life Care Annuities ⋮ Insuring longevity risk and long-term care: bequest, housing and liquidity ⋮ Health care investment: the case of multiple sources of risk ⋮ Asset prices and changes in risk within a bivariate model ⋮ Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits ⋮ Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings

Cites Work

• Unnamed Item
• Following the rules: integrating asset allocation and annuitization in retirement portfolios
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
• Life-cycle asset allocation with annuity markets
• Uncertain Medical Expenses and Precautionary Saving Near the End of the Life Cycle
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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