The timing of annuitization: Investment dominance and mortality risk

DOI10.1016/J.INSMATHECO.2006.03.005MaRDI QIDQ865617zbMATH OpenOpenAlexFDO

Authors Virginia R. Young, Moshe Arye Milevsky

Publication date 19 February 2007

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2006.03.005

Mathematics Subject Classification ID

Recommendations

• Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
• The determinants of mortality heterogeneity and implications for pricing annuities
• Mortality regimes and longevity risk in a life annuity portfolio
• Annuitization and asset allocation
• Longevity risk in portfolios of pension annuities
• The annuity puzzle and consumption hump under ambiguous life expectancy
• Optimal investment, consumption and timing of annuity purchase under a preference change
• Measuring the effect of mortality improvements on the cost of annuities
• Annuitization and asset allocation under exponential utility
• Choosing the optimal annuitization time post-retirement

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Optimum consumption and portfolio rules in a continuous-time model
• Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
• The Efficiency Analysis of Choices Involving Risk
• Uncertainty in mortality projections: an actuarial perspective
• Valuation of guaranteed annuity conversion options.

Cited in

(12)

• scientific article; zbMATH DE number 2072546 (Why is no real title available?)
• Following the rules: integrating asset allocation and annuitization in retirement portfolios
• Annuitization and asset allocation
• Determining the optimum guarantee period for a one-life retirement annuity
• Two stage decumulation strategies for dc plan investors
• Macro longevity risk and the choice between annuity products: evidence from Denmark
• Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
• Why do we postpone annuity purchases?
• On the pricing of longevity-linked securities
• Government-provided annuities under insolvency risk
• Evaluating the advanced life deferred annuity -- an annuity people might actually buy
• On the free boundary of an annuity purchase

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