کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098574 | 1478701 | 2014 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
ترجمه فارسی عنوان
زمان بهینه برای سالیانه بندی، بر اساس صندوق انتشار پرش و مرگ و میر تصادفی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
Optimal timing for annuitization is developed along three approaches. Firstly, the mutual fund in which the individual invests before annuitization is modeled by a jump diffusion process. Secondly, instead of maximizing an economic utility, the stopping time is used to maximize the market value of future cash-flows. Thirdly, a solution is proposed in terms of Expected Present Value operators: this shows that the non-annuitization (or continuation) region is either delimited by a lower or upper boundary, in the domain time-assets return. The necessary conditions are given under which these mutually exclusive boundaries exist. Further, a method is proposed to compute the probability of annuitization. Finally, a case study is presented where the mutual fund is fitted to the S&P500 and mortality is modeled by a Gompertz Makeham law with several real scenarios being discussed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 44, July 2014, Pages 124-146
Journal: Journal of Economic Dynamics and Control - Volume 44, July 2014, Pages 124-146
نویسندگان
Donatien Hainaut, Griselda Deelstra,