Longevity risk and retirement income tax efficiency: a location spending rate puzzle

DOI10.1016/J.INSMATHECO.2016.08.002MaRDI QIDQ2374096zbMATH OpenOpenAlexFDO

Authors Huaxiong Huang, Moshe Arye Milevsky

Publication date 14 December 2016

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.08.002

zbMATH Keywords

longevity riskoptimal consumptionlifecycle modelretirement planningpension planning

Mathematics Subject Classification ID

Portfolio theory (91G10) Consumer behavior, demand theory (91B42)

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Cites work

• scientific article; zbMATH DE number 700855 (Why is no real title available?)
• Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
• Knowledge Elicitation of Gompertz' Law of Mortality
• Lifetime consumption and investment: retirement and constrained borrowing
• Neoclassical life-cycle consumption: A textbook example
• On minimizing drawdown risks of lifetime investments
• Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance
• Optimal asset allocation in life annuities: a note.
• Optimal consumption-portfolio choices and retirement planning
• Optimal investment strategy for defined contribution pension schemes
• Optimum consumption and portfolio rules in a continuous-time model
• Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
• Portfolio investment with the exact tax basis via nonlinear programming
• Purchasing life insurance to reach a bequest goal
• The effect of objective formulation on retirement decision making
• The existence, uniqueness, and optimality of the terminal wealth depletion time in life-cycle models of saving under uncertain lifetime and borrowing constraint

Cited in

(5)

• Optimal retirement savings over the life cycle: a deterministic analysis in closed form
• The surprising power of age-dependent taxes
• Drawing down retirement savings -- do pensions, taxes and government transfers matter much for optimal decisions?
• Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
• How unobservable bond positions in retirement accounts affect asset allocation

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