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Optimal asset allocation in life annuities: a note

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  • Charupat, Narat
  • Milevsky, Moshe A.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4534CYC-2/2/2849ed6b0a7622921acf7497071bc130
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 30 (2002)
    Issue (Month): 2 (April)
    Pages: 199-209

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    Handle: RePEc:eee:insuma:v:30:y:2002:i:2:p:199-209

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    Web page: http://www.elsevier.com/locate/inca/505554

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Strawczynski, Michel, 1999. "Income uncertainty and the demand for annuities," Economics Letters, Elsevier, vol. 63(1), pages 91-96, April.
    2. De Schepper, A. & Teunen, M. & Goovaerts, M., 1994. "An analytical inversion of a Laplace transform related to annuities certain," Insurance: Mathematics and Economics, Elsevier, vol. 14(1), pages 33-37, April.
    3. Milevsky, Moshe Arye, 1997. "The present value of a stochastic perpetuity and the Gamma distribution," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 243-250, October.
    4. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    5. Majumdar, Mukul & Radner, Roy, 1991. "Linear Models of Economic Survival under Production Uncertainty," Economic Theory, Springer, vol. 1(1), pages 13-30, January.
    6. Merton, Robert C., 1973. "An asymptotic theory of growth under uncertainty," Working papers 673-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    7. Zvi Bodie & Robert C. Merton & William F. Samuelson, 1992. "Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model," NBER Working Papers 3954, National Bureau of Economic Research, Inc.
    8. Vanneste, M & Goovaerts, Marc & De Schepper, A & Dhaene, Jan, 1996. "A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/118668, Katholieke Universiteit Leuven.
    9. Beekman, John A. & Fuelling, Clinton P., 1990. "Interest and mortality randomness in some annuities," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 185-196, September.
    10. Carriere, Jacques F., 1999. "No-arbitrage pricing for life insurance and annuities," Economics Letters, Elsevier, vol. 64(3), pages 339-342, September.
    11. Vanneste, M. & Goovaerts, M. J. & Labie, E., 1994. "The distributions of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 37-48, October.
    12. De Schepper, A. & De Vylder, F. & Goovaerts, M. & Kaas, R., 1992. "Interest randomness in annuities certain," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 271-281, December.
    13. Gjessing, Håkon K. & Paulsen, Jostein, 1997. "Present value distributions with applications to ruin theory and stochastic equations," Stochastic Processes and their Applications, Elsevier, vol. 71(1), pages 123-144, October.
    14. Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
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    Citations

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    Cited by:
    1. Horneff, Wolfram J. & Maurer, Raimond H. & Mitchell, Olivia S. & Dus, Ivica, 2008. "Following the rules: Integrating asset allocation and annuitization in retirement portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 396-408, February.
    2. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchel & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," Working Papers wp177, University of Michigan, Michigan Retirement Research Center.
    3. Francesco Menoncin, 2005. "Cyclical risk exposure of pension funds: a theoretical framework," Working Papers ubs0503, University of Brescia, Department of Economics.
    4. Horneff, Wolfram J. & Maurer, Raimond H. & Mitchell, Olivia S. & Stamos, Michael Z., 2009. "Asset allocation and location over the life cycle with investment-linked survival-contingent payouts," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1688-1699, September.
    5. Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases," FAME Research Paper Series rp66, International Center for Financial Asset Management and Engineering.
    6. Gerrard, Russell & Haberman, Steven & Vigna, Elena, 2004. "Optimal investment choices post-retirement in a defined contribution pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 321-342, October.
    7. Castaneda, Pablo, 2006. "Long Term Risk Assessment in a Defined Contribution Pension System," MPRA Paper 3347, University Library of Munich, Germany, revised 30 Apr 2007.
    8. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Discussion Paper 2006-78, Tilburg University, Center for Economic Research.
    9. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchell & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," NBER Working Papers 14055, National Bureau of Economic Research, Inc.
    10. Wolfram Horneff & Raimond Maurer & Olivia Mitchell & Michael Stamos, 2007. "Money in Motion: Dynamic Portfolio Choice in Retirement," Working Papers wp152, University of Michigan, Michigan Retirement Research Center.
    11. Devolder, Pierre & Bosch Princep, Manuela & Dominguez Fabian, Inmaculada, 2003. "Stochastic optimal control of annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 227-238, October.
    12. Milevsky, Moshe A. & Young, Virginia R., 2007. "Annuitization and asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 3138-3177, September.

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