Maximizing the utility of consumption with commutable life annuities

► We maximize the expected utility of consumption with commutable life annuities. ► The optimal annuitization strategy depends on the size of proportional surrender charge. ► Lower proportional surrender charges lead to more annuitization. ► Full annuitization is optimal when there is no surrender charge or when the investor is very risk averse. ► If the surrender charge is larger than a critical value, it is optimal to behave as if annuities are not commutable.