Optimal Annuitization Policies

DOI10.1080/10920277.2001.10595953zbMath1083.91522OpenAlexW1521183607MaRDI QIDQ5718145

Moshe Arye Milevsky

Publication date: 13 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2001.10595953

Mathematics Subject Classification ID

Related Items (16)

Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase ⋮ Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits ⋮ Optimal consumption and portfolio choice for pooled annuity funds ⋮ The role of longevity bonds in optimal portfolios ⋮ Following the rules: integrating asset allocation and annuitization in retirement portfolios ⋮ Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan ⋮ Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases ⋮ Time-consistent portfolio optimization ⋮ Income drawdown option with minimum guarantee ⋮ Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) ⋮ Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) ⋮ Tontines with mixed cohorts ⋮ The Management of Decumulation Risks in a Defined Contribution Pension Plan ⋮ Immediate Annuity Pricing in the Presence of Unobserved Heterogeneity ⋮ Determining the Optimum Guarantee Period for a One-Life Retirement Annuity ⋮ Choosing the optimal annuitization time post-retirement

Cites Work

• The Pricing of Options and Corporate Liabilities
• Mortality derivatives and the option to annuitise.
• A Theory of the Term Structure of Interest Rates
• Self-Annuitization and Ruin in Retirement

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