Short term decumulation strategies for underspending retirees

DOI10.1016/J.INSMATHECO.2021.11.005MaRDI QIDQ2670108zbMATH OpenOpenAlexFDO

Authors P. A. Forsyth

Publication date 10 March 2022

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.11.005

zbMATH Keywords

decumulationexpected shortfalloptimal controlshort termunderspending

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Optimal stochastic control (93E20)

Recommendations

• Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
• Two stage decumulation strategies for dc plan investors
• A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
• Optimal asset allocation for DC pension decumulation with a variable spending rule
• Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase

Cites work

• A jump-diffusion model for option pricing
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• Automatic Block-Length Selection for the Dependent Bootstrap
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• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
• De-risking defined benefit plans
• Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
• Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Nonparametric tests for pathwise properties of semimartingales
• On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
• On time consistency for mean-variance portfolio selection
• Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
• Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
• Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings
• The annuity puzzle remains a puzzle
• The Stationary Bootstrap
• Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
• Two stage decumulation strategies for dc plan investors

Cited in

(8)

• Longevity risk and retirement income tax efficiency: a location spending rate puzzle
• The 4\% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
• Two stage decumulation strategies for dc plan investors
• Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
• A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
• Optimal asset allocation for DC pension decumulation with a variable spending rule
• WITHDRAWAL SUCCESS ESTIMATION
• Multiperiod mean-buffered probability of exceedance in defined contribution portfolio optimization

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