Optimal asset allocation in life annuities: a note.

DOI10.1016/S0167-6687(02)00097-5zbMath1074.91548MaRDI QIDQ1413310

Narat Charupat, Moshe Arye Milevsky

Publication date: 16 November 2003

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

zbMATH Keywords

Asset allocationLife annuitiesMortality-contingent claims

Mathematics Subject Classification ID

Related Items (20)

OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM ⋮ On the sub-optimality cost of immediate annuitization in DC pension funds ⋮ Longevity risk and retirement income tax efficiency: a location spending rate puzzle ⋮ Cyclical risk exposure of pension funds: a theoretical framework ⋮ Stochastic optimal control of annuity contracts. ⋮ Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits ⋮ Following the rules: integrating asset allocation and annuitization in retirement portfolios ⋮ Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits ⋮ Existence of optimal consumption strategies in markets with longevity risk ⋮ Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases ⋮ Optimal investment choices post-retirement in a defined contribution pension scheme ⋮ Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ A general optimization framework for the annuity contracts with multiscale stochastic volatility ⋮ Variable annuities: market incompleteness and policyholder behavior ⋮ Macro longevity risk and the choice between annuity products: evidence from Denmark ⋮ Annuitization and asset allocation ⋮ Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance ⋮ Efficient Post-Retirement Asset Allocation ⋮ Securitization of Longevity Risk in Reverse Mortgages

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