Maximizing the utility of consumption with commutable life annuities

DOI10.1016/J.INSMATHECO.2012.06.002MaRDI QIDQ2445347zbMATH OpenOpenAlexFDO

Authors Ting Wang, Virginia R. Young

Publication date 14 April 2014

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2012.06.002

zbMATH Keywords

commutable annuitiesfree-boundary problemimpulse controloptimal consumptionoptimal investmentretirementsingular controlstochastic controlutility maximization

Mathematics Subject Classification ID

Recommendations

• Optimal commutable annuities to minimize the probability of lifetime ruin
• Life Annuitization: Why and how Much?
• Annuitization and asset allocation under exponential utility
• Annuitization and asset allocation
• Optimal Annuity Risk Management*

Cites work

• A simplified treatment of the theory of optimal regulation of Brownian motion
• Annuitization and asset allocation
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
• Consumption-investment problems with transaction costs: Survey and open problems
• Finite-Fuel Singular Control With Discretionary Stopping
• Hedging in incomplete markets with HARA utility
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• Labor income, borrowing constraints, and equilibrium asset prices
• Minimizing the probability of lifetime ruin under stochastic volatility
• Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
• Optimal commutable annuities to minimize the probability of lifetime ruin
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Optimal investment and consumption with transaction costs
• Optimal lifetime consumption and investment under a drawdown constraint
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Super contact and related optimality conditions

Cited in

(12)

• Purchasing casualty insurance to avoid lifetime ruin
• Annuitization and asset allocation under exponential utility
• Household utility maximization with life insurance: a CES utility case
• Optimal investment, consumption and timing of annuity purchase under a preference change
• Optimal commutable annuities to minimize the probability of lifetime ruin
• Purchasing life insurance to reach a bequest goal
• Minimizing the probability of lifetime drawdown under constant consumption
• Purchasing term life insurance to reach a bequest goal: time-dependent case
• Minimizing the probability of lifetime ruin when shocks might occur: perturbation analysis
• Life insurance purchasing to maximize utility of household consumption
• Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin
• Optimal annuitization and asset allocation with fixed transaction costs

This page was built for publication: Maximizing the utility of consumption with commutable life annuities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2445347)