A generalization of Yaari's result on annuitization with optimal retirement

DOI10.1016/J.ECONLET.2015.10.010MaRDI QIDQ1667924zbMATH OpenOpenAlexFDO

Authors Seyoung Park

Publication date 31 August 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2015.10.010

zbMATH Keywords

critical wealth levelleisureoptimal annuitizationoption

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
• scientific article; zbMATH DE number 3751685 (Why is no real title available?)
• Lifetime consumption and investment: retirement and constrained borrowing
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY

Cited in

(5)

• Is full annuitization socially optimal?
• Time-inconsistent life-cycle consumption and retirement choice with mortality risk
• Verification theorems for models of optimal consumption and investment with annuitization
• Optimal consumption and investment with insurer default risk
• Annuitization and asset allocation with borrowing constraint

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