Optimal annuitization under stochastic interest rates

DOI10.1017/ASB.2024.23MaRDI QIDQ6668692zbMATH OpenFDO

Authors Yannick Dillschneider, Raimond H. Maurer, Peter Schober

Publication date 22 January 2025

Published in ASTIN Bulletin (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1017/ASB.2024.23

zbMATH Keywords

annuity riskdeferred life annuitiesdynamic portfolio choiceinterest rate risk

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• An equilibrium characterization of the term structure
• Annuitization and asset allocation
• Consumption Over the Life Cycle
• Following the rules: integrating asset allocation and annuitization in retirement portfolios
• Life Annuitization: Why and how Much?
• LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL
• Life insurance and pension contracts. II: The life cycle model with recursive utility
• Life-cycle asset allocation with annuity markets
• Optimal Annuity Risk Management*
• Optimal investment for a retirement plan with deferred annuities
• Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
• Optimal portfolio choice with annuities and life insurance for retired couples
• Optimal purchasing of deferred income annuities when payout yields are mean-reverting
• Optimizing the equity-bond-annuity portfolio in retirement: the impact of uncertain health expenses
• Risk aversion and the value of life
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The theory of dynamic programming
• Variable annuity pricing, valuation, and risk management: a survey

Cited in

(1)

• Optimal annuitization and asset allocation under linear habit formation

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