Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality

DOI10.1016/j.jedc.2014.04.008zbMath1402.91197OpenAlexW1967121983MaRDI QIDQ1994577

Donatien Hainaut, Griselda Deelstra

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/160076/5/HD1.pdf

zbMATH Keywords

Wiener-Hopf factorizationhitting timeexpected present valueannuity puzzle

Mathematics Subject Classification ID

Related Items (9)

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Cites Work

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• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Life Annuitization: Why and how Much?
• First passage times of a jump diffusion process
• OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM

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