Choosing the optimal annuitization time post-retirement

DOI10.1080/14697680903358248zbMath1279.91094OpenAlexW2004410573MaRDI QIDQ2873540

Elena Vigna, Russell Gerrard, 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

zbMATH Keywords

defined contribution pension schemeoptimal annuitization timeactuarial scienceportfolio allocationconsumption-portfolio choiceinsurance mathematicscontrol and optimization

Mathematics Subject Classification ID

Related Items (16)

On the sub-optimality cost of immediate annuitization in DC pension funds ⋮ Modern tontine with bequest: innovation in pooled annuity products ⋮ Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase ⋮ Individual optimal pension allocation under stochastic dominance constraints ⋮ On the free boundary of an annuity purchase ⋮ Optimal investment-consumption problem: post-retirement with minimum guarantee ⋮ Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan ⋮ Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality ⋮ Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework ⋮ Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model ⋮ Income drawdown option with minimum guarantee ⋮ A combined stochastic programming and optimal control approach to personal finance and pensions ⋮ Optimal investment strategy post retirement without ruin possibility: a numerical algorithm ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ Optimal investment, consumption and timing of annuity purchase under a preference change ⋮ On efficiency of mean–variance based portfolio selection in defined contribution pension schemes

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal investment choices post-retirement in a defined contribution pension scheme
• Stochastic optimal control of DC pension funds
• Annuitization and asset allocation
• A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
• Optimal investment strategies and risk measures in defined contribution pension schemes.
• Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
• Stochastic optimal control of annuity contracts.
• Optimal pension management in a stochastic framework.
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
• Investment Policy for Defined-Contribution Pension Scheme Members Close to Retirement
• Optimal Annuitization Policies
• Deterministic Modeling of Defined-Contribution Pension Funds
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase

This page was built for publication: Choosing the optimal annuitization time post-retirement