Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
Year of publication: |
2014
|
---|---|
Authors: | Hainaut, Donatien ; Deelstra, Griselda |
Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 44.2014, C, p. 124-146
|
Publisher: |
Elsevier |
Subject: | Annuity puzzle | Hitting time | Wiener–Hopf factorization | Expected present value |
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