Optimizing the equity-bond-annuity portfolio in retirement: the impact of uncertain health expenses

DOI10.1016/J.INSMATHECO.2009.08.009MaRDI QIDQ659207zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asset allocationlife cycleannuityprecautionary savingspensionhealth expense

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Financial applications of other theories (91G80)

Recommendations

• Optimal Portfolio Choice with Health-Contingent Income Products: The Value of Life Care Annuities
• Optimal portfolio choice with annuities and life insurance for retired couples
• Optimal Annuity Risk Management*
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• Annuitization and asset allocation

Cites work

• Following the rules: integrating asset allocation and annuitization in retirement portfolios
• Life-cycle asset allocation with annuity markets
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The economic theory of annuities.
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
• Uncertain Medical Expenses and Precautionary Saving Near the End of the Life Cycle

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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