Optimal annuitization and asset allocation under linear habit formation

DOI10.1016/J.INSMATHECO.2023.11.007MaRDI QIDQ6152714zbMATH OpenFDO

Authors Guohui Guan, Zongxia Liang, Xingjian Ma

Publication date 13 February 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2023.11.007

zbMATH Keywords

annuitizationdual methodslinear habit formationstopping-control problemvariational inequalities

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• Annuitization and asset allocation
• Continuous-time Markowitz's model with transaction costs
• Demand for non-life insurance under habit formation
• Optimal retirement and portfolio selection with consumption ratcheting
• Optimal retirement time under habit persistence: what makes individuals retire early?
• OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
• Regularity theorems for variational inequalities in unbounded domains and applications to stopping time problems
• The annuity puzzle and consumption hump under ambiguous life expectancy
• Utility Maximization with Discretionary Stopping

Cited in

(6)

• Optimal consumption and portfolio selection for retirees with the guarantee of minimum welfare
• The role of health in consumption and portfolio decision-making: insights from state-dependent models
• Optimal annuitization under stochastic interest rates
• Optimal annuitization and asset allocation with fixed transaction costs
• Robust optimal strategy of hybrid pension with additional voluntary contribution plan
• Time-consistent annuitization and asset allocation under the mean-variance criterion

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