Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
type: Item
instance of: scholarly article
title: Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
zbMATH Open document ID: 1402.91197
author: Donatien Hainaut
author: Griselda Deelstra
publication date: 2018-11-01T00:00:00Z
full work available at URL: HD1.pdf
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 6970526
zbMATH Keywords: annuity puzzle
zbMATH Keywords: hitting time
zbMATH Keywords: Wiener-Hopf factorization
zbMATH Keywords: expected present value
MaRDI profile type: Publication
OpenAlex ID: W1967121983
cites work: Irreversible decisions under uncertainty. Optimal stopping made easy
cites work: Q2770571
cites work: On the sub-optimality cost of immediate annuitization in DC pension funds
cites work: Q4086303
cites work: Choosing the optimal annuitization time post-retirement
cites work: Life Annuitization: Why and how Much?
cites work: First passage times of a jump diffusion process
cites work: ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
cites work: Annuitization and asset allocation
cites work: Stochastic calculus for finance. II: Continuous-time models.
cites work: OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
DOI: 10.1016/J.JEDC.2014.04.008
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6970526