Optimizing the equity-bond-annuity portfolio in retirement: the impact of uncertain health expenses
DOI10.1016/J.INSMATHECO.2009.08.009zbMATH Open1231.91223OpenAlexW3124443929MaRDI QIDQ659207FDOQ659207
Authors: Gaobo Pang, Mark Warshawsky 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://repository.upenn.edu/cgi/viewcontent.cgi?article=1296&context=prc_papers
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Financial applications of other theories (91G80)
Cites Work
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Following the rules: integrating asset allocation and annuitization in retirement portfolios
- The method of endogenous gridpoints for solving dynamic stochastic optimization problems
- Life-cycle asset allocation with annuity markets
- Uncertain Medical Expenses and Precautionary Saving Near the End of the Life Cycle
- The economic theory of annuities.
Cited In (13)
- Optimal Portfolio Choice with Health-Contingent Income Products: The Value of Life Care Annuities
- Health care investment: the case of multiple sources of risk
- Asset prices and changes in risk within a bivariate model
- Optimal annuity portfolio under inflation risk
- Optimal portfolio choice with annuities and life insurance for retired couples
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
- Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings
- Tail index-linked annuity: a longevity risk sharing retirement plan
- Insuring longevity risk and long-term care: bequest, housing and liquidity
- Optimal annuitization under stochastic interest rates
- The annuity puzzle remains a puzzle
- Health insurance, portfolio choice, and retirement incentives
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