Optimal consumption and portfolio choice for pooled annuity funds
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Publication:938034
DOI10.1016/J.INSMATHECO.2007.09.010zbMATH Open1140.91411OpenAlexW2028704302MaRDI QIDQ938034FDOQ938034
Authors: Michael Z. Stamos 
Publication date: 18 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.09.010
Recommendations
poolingmortality riskfinite differencesinsuranceHJBjump riskdynamic consumption and portfolio choice
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Annuitization and asset allocation
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- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
- Self-Annuitization and Ruin in Retirement
- The Calculus of Retirement Income
- Optimal Annuity Risk Management*
- Demand and adverse selection in a pooled annuity fund
- Optimal Annuitization Policies
Cited In (34)
- Optimal Portfolio Choice with Health-Contingent Income Products: The Value of Life Care Annuities
- Finite-time annular domain stability and stabilisation of Itô-type stochastic time-varying systems with Wiener and Poisson noises
- QUANTIFYING THE TRADE-OFF BETWEEN INCOME STABILITY AND THE NUMBER OF MEMBERS IN A POOLED ANNUITY FUND
- A new approach for satisfactory pensions with no guarantees
- Optimal Portfolio Choice in Retirement With Participating Life Annuities
- Modern tontine with bequest: innovation in pooled annuity products
- Bivariate Bernoulli weighted sums and distribution of single-period tontine benefits
- Bringing cost transparency to the life annuity market
- Options on tontines: an innovative way of combining tontines and annuities
- Closed-form solutions for an explicit modern ideal tontine with bequest motive
- Fees in tontines
- Tontines with mixed cohorts
- TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS
- Optimal Annuity Risk Management*
- Integrating optimal annuity planning with consumption-investment selections in retirement planning
- MODERN LIFE-CARE TONTINES
- Benefit volatility-targeting strategies in lifetime pension pools
- Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach
- Tackling longevity risk by means of financial compensation
- Modern tontines as a pension solution: a practical overview
- Annuitization and asset allocation with borrowing constraint
- ACTUARIAL FAIRNESS AND SOLIDARITY IN POOLED ANNUITY FUNDS
- Actuarial fairness and social welfare in mixed-cohort tontines
- Optimal investment and consumption strategies for pooled annuity with partial information
- Optimal asset allocation in life annuities: a note.
- Optimal retirement income tontines
- EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING
- Optimal retirement products under subjective mortality beliefs
- Valuation of longevity-linked life annuities
- Demand and adverse selection in a pooled annuity fund
- Egalitarian pooling and sharing of longevity risk a.k.a. \textit{can an administrator help skin the tontine cat?}
- Peer-to-peer multi-risk insurance and mutual aid
- Pooling functional disability and mortality in long-term care insurance and care annuities: a matrix approach for multi-state pools
- On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
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