Horneff, Wolfram J.; Maurer, Raimond H.; Stamos, Michael Z. - In: Journal of Risk & Insurance 75 (2008) 4, pp. 1019-1038
We compute the optimal dynamic annuitization and asset allocation policy for a retiree with Epstein-Zin preferences, uncertain investment horizon, potential bequest motives, and pre-existing pension income. In our setting the retiree can decide each year how much he consumes and how much he...