| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076921 | Insurance: Mathematics and Economics | 2012 | 18 Pages |
Abstract
⺠We maximize the expected utility of consumption with commutable life annuities. ⺠The optimal annuitization strategy depends on the size of proportional surrender charge. ⺠Lower proportional surrender charges lead to more annuitization. ⺠Full annuitization is optimal when there is no surrender charge or when the investor is very risk averse. ⺠If the surrender charge is larger than a critical value, it is optimal to behave as if annuities are not commutable.
Keywords
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Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ting Wang, Virginia R. Young,