Choosing the optimal annuitization time post-retirement
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Publication:2873540
DOI10.1080/14697680903358248zbMATH Open1279.91094OpenAlexW2004410573MaRDI QIDQ2873540FDOQ2873540
Authors: Russell Gerrard, Elena Vigna, Bjarne Højgaard 
Publication date: 24 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://www.carloalberto.org/wp-content/uploads/2018/11/no.76.pdf
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defined contribution pension schemeoptimal annuitization timeactuarial scienceportfolio allocationconsumption-portfolio choiceinsurance mathematicscontrol and optimization
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- OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
- Optimal investment choices post-retirement in a defined contribution pension scheme
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- Investment Policy for Defined-Contribution Pension Scheme Members Close to Retirement
- Optimal Annuitization Policies
- Deterministic Modeling of Defined-Contribution Pension Funds
Cited In (21)
- Optimal investment-consumption problem: post-retirement with minimum guarantee
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Optimal annuitisation in a deterministic financial environment
- Modern tontine with bequest: innovation in pooled annuity products
- Individual optimal pension allocation under stochastic dominance constraints
- Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase
- Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan
- A combined stochastic programming and optimal control approach to personal finance and pensions
- 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
- Income drawdown option with minimum guarantee
- Two stage decumulation strategies for dc plan investors
- Optimal investment choices post-retirement in a defined contribution pension scheme
- Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Optimal investment, consumption and timing of annuity purchase under a preference change
- Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- 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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