Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
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Publication:1994577
DOI10.1016/J.JEDC.2014.04.008zbMATH Open1402.91197OpenAlexW1967121983MaRDI QIDQ1994577FDOQ1994577
Authors: Donatien Hainaut, Griselda Deelstra 
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/160076/5/HD1.pdf
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Cites Work
- Stochastic calculus for finance. II: Continuous-time models.
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- Choosing the optimal annuitization time post-retirement
- On the sub-optimality cost of immediate annuitization in DC pension funds
- ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
- OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
- First passage times of a jump diffusion process
- Irreversible decisions under uncertainty. Optimal stopping made easy
- Life Annuitization: Why and how Much?
Cited In (12)
- Optimal investment-consumption problem: post-retirement with minimum guarantee
- Evaluation and default time for companies with uncertain cash flows
- OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
- Cohort and target age effects on subjective survival probabilities: implications for models of the retirement phase
- A stochastic programming model for funding single premium deferred annuities
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- Optimal allocation to deferred income annuities
- Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- The timing of annuitization: Investment dominance and mortality risk
- On the free boundary of an annuity purchase
- Optimal investment strategy post retirement without ruin possibility: a numerical algorithm
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