کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077572 1374137 2007 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Integrating optimal annuity planning with consumption-investment selections in retirement planning
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Integrating optimal annuity planning with consumption-investment selections in retirement planning
چکیده انگلیسی
Annuities can be effective tools in managing longevity risk in retirement planning. This paper develops a framework that merges annuity purchase decisions with consumption-investment selections in retirement planning. After introducing a pricing and a benefit payment model for an annuity, we construct a multi-period wealth evolution model. An optimization problem is formulated with an objective of maximizing lifetime utility of consumption and wealth. Optimal decisions are determined as a trade off between consumption and investment among an annuity, a risky and a risk-free asset. Computational results are provided to illustrate the practical implications of the framework.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 41, Issue 1, July 2007, Pages 96-110
نویسندگان
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