In this paper we generalize the following result of Yaari (1965) on annuitization with an agent's optimal retirement … an economic agent to exchange the value of labor income with the extra leisure that is brought about by annuitizing all …

with risk aversion between these extremes can identify optimal strategies balancing income and shortfall risk …We test a parametric retirement spending strategy incorporating constant spending, variable spending, smoothing, and … spending and shortfall risk over a large universe of parameters and portfolios. Using certainty equivalent spending with …

and the projections used in pricing. Through the participation scheme, systematic longevity risk is shared between … systematic longevity risk. We also find that stochasticity in mortality rates only has minor impact on the appeal of PLAs to the …

and the projections used in pricing. Through the participation scheme, systematic longevity risk is shared between … systematic longevity risk. We also find that stochasticity in mortality rates only has minor impact on the appeal of PLAs to the …

This paper investigates retirees' optimal purchases of fixed and variable longevity income annuities using their … using plan assets to boost Social Security benefits through delayed claiming. We determine that including deferred income …

This paper investigates retirees’ optimal purchases of fixed and variable longevity income annuities using their … using plan assets to boost Social Security benefits through delayed claiming. We determine that including deferred income …

market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various …

- state and occupational pensions and private pension schemes - can sufficiently guarantee adequate retirement income in the … pension provision taking account of the key characteristic of retirement saving - the long investment horizon - is … stocks. The analysis leads to the conclusion that the risk entailed in stock investment is reduced relative to the yield as …

maximum limits by asset class) in order to create funds with different risk-return profiles. In this article we challenge this … approach and show that such funds exhibit erratic risk-return profiles that deviate significantly from the intended design. We … propose to replace all minimum and maximum asset allocation constraints by a single risk metric (or measure) that controls …