Optimal investment choices post-retirement in a defined contribution pension scheme

DOI10.1016/J.INSMATHECO.2004.06.002zbMATH Open1093.91027OpenAlexW1987528389MaRDI QIDQ704413FDOQ704413

Authors: Russell Gerrard, Steven Haberman, Elena Vigna 

Publication date: 13 January 2005

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/11900/1/Paper-ime04.pdf

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zbMATH Keywords

decumulation phaseimmediate annuitizationincome drawdown option

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites Work

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• Self-Annuitization and Ruin in Retirement
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time

Cited In (58)

• Stressing dynamic loss models
• Dynamic strategies for defined benefit pension plans risk management
• A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
• Efficient post-retirement asset allocation
• Mean-variance portfolio selection for a non-life insurance company
• Optimal investment-consumption problem: post-retirement with minimum guarantee
• Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model
• Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
• Structure of intergenerational risk-sharing plans: optimality and fairness
• Comparison of mean variance like strategies for optimal asset allocation problems
• An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
• Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
• A stochastic control problem with delay arising in a pension fund model
• Continuous time mean variance asset allocation: a time-consistent strategy
• Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
• Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
• Individual optimal pension allocation under stochastic dominance constraints
• Relative choice models for income drawdown in a defined contribution pension scheme
• Optimal consumption and portfolio selection for retirees with the guarantee of minimum welfare
• On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
• Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
• A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems
• Closed-form solutions for an explicit modern ideal tontine with bequest motive
• Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase
• On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
• Drawing down retirement savings -- do pensions, taxes and government transfers matter much for optimal decisions?
• Optimal annuity portfolio under inflation risk
• Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan
• Following the rules: integrating asset allocation and annuitization in retirement portfolios
• Optimal portfolios for DC pension plans under a CEV model
• A combined stochastic programming and optimal control approach to personal finance and pensions
• Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
• On the sub-optimality cost of immediate annuitization in DC pension funds
• Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
• Income drawdown option with minimum guarantee
• Optimal investment strategies and risk measures in defined contribution pension schemes.
• Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• Title not available (Why is that?)
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
• Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
• The Management of Decumulation Risks in a Defined Contribution Pension Plan
• Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?
• Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
• A general optimization framework for the annuity contracts with multiscale stochastic volatility
• Optimal asset allocation for DC pension plans under inflation
• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
• The effect of objective formulation on retirement decision making
• On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
• Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
• Investment Policy for Defined-Contribution Pension Scheme Members Close to Retirement
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
• Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
• Choosing the optimal annuitization time post-retirement
• Optimal investment strategy post retirement without ruin possibility: a numerical algorithm
• Management of portfolio depletion risk through optimal life cycle asset allocation
• Optimal asset allocation for DC pension decumulation with a variable spending rule
• Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement

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