Optimal Annuitization Policies

DOI10.1080/10920277.2001.10595953MaRDI QIDQ5718145zbMATH OpenOpenAlexFDO

Authors 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

Cites work

• A theory of the term structure of interest rates
• Mortality derivatives and the option to annuitise.
• Self-Annuitization and Ruin in Retirement
• The pricing of options and corporate liabilities

Cited in

(16)

• Time-consistent portfolio optimization
• Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan
• 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 asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
• Income drawdown option with minimum guarantee
• Choosing the optimal annuitization time post-retirement
• 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
• 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)
• 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

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