Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4616126 | Journal of Mathematical Analysis and Applications | 2014 | 34 Pages |
Abstract
In this paper, we study the optimal investment and consumption strategies for a retired individual who has the opportunity of choosing a discretionary stopping time to purchase an annuity. We assume that the individual receives a fixed annuity income and changes his/her preference after paying a fixed cost for annuitization. By using the martingale method and the variational inequality method, we tackle this problem and obtain the optimal strategies and the value function explicitly for the case of constant force of mortality and constant relative risk aversion (CRRA) utility function.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Xiaoqing Liang, Xiaofan Peng, Junyi Guo,