Life-cycle planning with ambiguous economics and mortality risks

DOI10.1080/10920277.2019.1634596MaRDI QIDQ5206147zbMATH OpenOpenAlexWikidataFDO

Authors Yang Shen, Jianxi Su

Publication date 18 December 2019

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2019.1634596

zbMATH Keywords

life-cycle modelstrategic planningmortality riskspreretirement and postretirement phases

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06)

Recommendations

• Robust retirement and life insurance with inflation risk and model ambiguity
• The annuity puzzle and consumption hump under ambiguous life expectancy
• Optimal annuitization, uncertain survival probabilities, and maxmin preferences
• REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
• Household consumption-investment-insurance decisions with uncertain income and market ambiguity

Cites work

• scientific article; zbMATH DE number 1790587 (Why is no real title available?)
• Annuitization and asset allocation
• Dynamic derivative strategies with stochastic interest rates and model uncertainty
• Dynamic portfolio choice with stochastic wage and life insurance
• Housing habits and their implications for life-cycle consumption and investment
• Investment and consumption problem in finite time with consumption constraint
• Lifetime asset allocation with idiosyncratic and systematic mortality risks
• Lifetime consumption and investment: retirement and constrained borrowing
• Lifetime ruin under ambiguous hazard rate
• Minimizing the probability of lifetime ruin when shocks might occur: perturbation analysis
• Optimal housing, consumption, and investment decisions over the life cycle
• Optimal retirement time under habit persistence: what makes individuals retire early?
• Robust optimization of credit portfolios
• Robust portfolio choice with stochastic interest rates
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
• Seasonally and approximation errors in rational expectations models
• The annuity puzzle remains a puzzle
• Utility maximization in incomplete markets

Cited in

(4)

• Household consumption-investment-insurance decisions with uncertain income and market ambiguity
• Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
• Household investment-consumption-insurance policies under the age-dependent risk preferences
• Optimal sizing of the sediment replenishment capacity based on robust ergodic control of subordinator-driven dynamics

This page was built for publication: Life-cycle planning with ambiguous economics and mortality risks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5206147)