Life-cycle planning with ambiguous economics and mortality risks
From MaRDI portal
Publication:5206147
DOI10.1080/10920277.2019.1634596zbMATH Open1429.91283OpenAlexW2981062857WikidataQ126996868 ScholiaQ126996868MaRDI QIDQ5206147FDOQ5206147
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
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
Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06)
Cites Work
- Utility maximization in incomplete markets
- Robust portfolio choice with stochastic interest rates
- Lifetime consumption and investment: retirement and constrained borrowing
- Annuitization and asset allocation
- Seasonally and approximation errors in rational expectations models
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Title not available (Why is that?)
- Investment and consumption problem in finite time with consumption constraint
- Lifetime asset allocation with idiosyncratic and systematic mortality risks
- The annuity puzzle remains a puzzle
- Robust optimization of credit portfolios
- Optimal retirement time under habit persistence: what makes individuals retire early?
- Optimal housing, consumption, and investment decisions over the life cycle
- Housing habits and their implications for life-cycle consumption and investment
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
- Lifetime ruin under ambiguous hazard rate
- Dynamic portfolio choice with stochastic wage and life insurance
- Minimizing the probability of lifetime ruin when shocks might occur: perturbation analysis
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)
