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Optimal stopping time, consumption, labour, and portfolio decision for a pension scheme

Menoncin, Francesco; Vergalli, Sergio - 2019

In this work we solve in a closed form the problem of an agent who wants to optimise the inter-temporal utility of both his consumption and leisure by choosing: (i) the optimal inter-temporal consumption, (ii) the optimal inter-temporal labour supply, (iii) the optimal share of wealth to invest...

Persistent link: https://www.econbiz.de/10012006564

Market risk, mortality risk, and sustainable retirement asset allocation : a downside risk perspective

Harlow, W. V.; Brown, Keith C. - In: Journal of investment management : JOIM 14 (2016) 2, pp. 5-32

Persistent link: https://www.econbiz.de/10011690837

Existence of optimal consumption strategies in markets with longevity risk

Kort, Jan de; Vellekoop, Michel - In: Insurance / Mathematics & economics 72 (2017), pp. 107-121

Persistent link: https://www.econbiz.de/10011694393

The annuity puzzle remains a puzzle

Peijnenburg, Kim; Nijman, Theodore E.; Werker, Bas J. M. - In: Journal of economic dynamics & control 70 (2016), pp. 18-35

Persistent link: https://www.econbiz.de/10011708624

Longevity-linked assets and pre-retirement consumption/portfolio decisions

Menoncin, Francesco; Regis, Luca - In: Insurance / Mathematics & economics 76 (2017), pp. 75-86

Persistent link: https://www.econbiz.de/10011774776

Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate

Shevchenko, Pavel V.; Luo, Xiaolin - In: Insurance / Mathematics & economics 76 (2017), pp. 104-117

Persistent link: https://www.econbiz.de/10011774788

Analysis of survivorship life insurance portfolios with stochastic rates of return

Chen, Li; Lin, Luyao; Lu, Yi; Parker, Gary - In: Insurance / Mathematics & economics 75 (2017), pp. 16-31

Persistent link: https://www.econbiz.de/10011740696

A multivariate model of strategic asset allocation with longevity risk

Bisetti, Emilio; Favero, Carlo A.; Nocera, Giacomo; … - 2013 - This version: October, 2013

Persistent link: https://www.econbiz.de/10011817731

Implementing individual savings decisions for retirement with bounds on wealth

Donnelly, Catherine W.; Guillén, Montserrat; Nielsen, … - In: Astin bulletin : the journal of the International … 48 (2018) 1, pp. 111-137

Persistent link: https://www.econbiz.de/10011875583

Lifetime asset allocation with idiosyncratic and systematic mortality risks

Shen, Yang; Sherris, Michael - In: Scandinavian actuarial journal (2018) 4, pp. 294-327

Persistent link: https://www.econbiz.de/10011881099