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

DOI10.1016/J.JEDC.2014.04.008MaRDI QIDQ1994577zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

annuity puzzleexpected present valuehitting timeWiener-Hopf factorization

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• Annuitization and asset allocation
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Choosing the optimal annuitization time post-retirement
• First passage times of a jump diffusion process
• scientific article; zbMATH DE number 1703928 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Irreversible decisions under uncertainty. Optimal stopping made easy
• Life Annuitization: Why and how Much?
• On the sub-optimality cost of immediate annuitization in DC pension funds
• OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
• Stochastic calculus for finance. II: Continuous-time models.

Cited in

(13)

• A stochastic programming model for funding single premium deferred annuities
• Cohort and target age effects on subjective survival probabilities: implications for models of the retirement phase
• Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
• On the free boundary of an annuity purchase
• Optimal investment-consumption problem: post-retirement with minimum guarantee
• Optimal allocation to deferred income annuities
• Optimal investment strategy post retirement without ruin possibility: a numerical algorithm
• Evaluation and default time for companies with uncertain cash flows
• Pricing extreme mortality risk in the wake of the COVID-19 pandemic
• Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
• OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
• The market value of optimal annuitization and bequest motives
• The timing of annuitization: Investment dominance and mortality risk

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