OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM

DOI10.1142/S0219024906003524zbMath1137.91474MaRDI QIDQ5291317

Gabriele Stabile

Publication date: 10 May 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

optimal stopping; stochastic control; asset allocation; annuities

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

Related Items

On the sub-optimality cost of immediate annuitization in DC pension funds, Optimal portfolio, consumption and retirement decision under a preference change, Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality, Optimal investment and consumption decision of a family with life insurance, Optimal investment, consumption and timing of annuity purchase under a preference change, Optimal initiation of a GLWB in a variable annuity: no arbitrage approach, Choosing the optimal annuitization time post-retirement

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Optimal asset allocation in life annuities: a note.
• Optimal Stopping of One-Dimensional Diffusions
• Utility Maximization with Discretionary Stopping