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Life insurance and annuity demand under hyperbolic discounting
Tang, Siqi; Purcal, T. Sachi; Zhang, Jinhui - In: Risks : open access journal 6 (2018) 2, pp. 1-10
In this paper, we analyse and construct a lifetime utility maximisation model with hyperbolic discounting. Within the model, a number of assumptions are made: complete markets, actuarially fair life insurance/annuity is available, and investors have time-dependent preferences. Time dependent...
Persistent link: https://www.econbiz.de/10011866415
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The investment horizon problem : a resolution
Aase, Knut K. - 2009
Persistent link: https://www.econbiz.de/10003879036
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Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
Steinorth, Petra; Mitchell, Olivia S. - In: Insurance / Mathematics & economics 64 (2015), pp. 246-258
Persistent link: https://www.econbiz.de/10011398047
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Trading death : the implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios
Sutcliffe, Charles M. S. - In: International review of financial analysis 38 (2015), pp. 163-174
Persistent link: https://www.econbiz.de/10011337617
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Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S.; … - In: Insurance / Mathematics & economics 63 (2015), pp. 91-107
Persistent link: https://www.econbiz.de/10011349847
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Valuation of large variable annuity portfolios under nested simulation : a functional data approach
Gan, Guojun; Lin, X. Sheldon - In: Insurance / Mathematics & economics 62 (2015), pp. 138-150
Persistent link: https://www.econbiz.de/10011312079
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Life insurance and pension contracts II : the life cycle model with recursive utility
Aase, Knut K. - In: Astin bulletin : the journal of the International … 46 (2016) 1, pp. 71-102
Persistent link: https://www.econbiz.de/10011485135
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Dynamic portfolio choice with pension annuities and life insurance
Horneff, Wolfram J. - 2008
Persistent link: https://www.econbiz.de/10003751641
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Asset allocation für die Alterssicherung : Performance-Steigerung durch Nutzung von Zeithorizonteffekten
Lahusen, Reinhard - 2002 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001652405