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Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection

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Cited by:

  1. Horneff, Vanya & Maurer, Raimond & Mitchell, Olivia S., 2019. "How will persistent low expected returns shape household economic behavior?," Journal of Pension Economics and Finance, Cambridge University Press, vol. 18(4), pages 612-622, October.
  2. Butt, Adam & Khemka, Gaurav, 2015. "The effect of objective formulation on retirement decision making," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 385-395.
  3. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
  4. Mitchell, O.S. & Piggott, J., 2016. "Workplace-Linked Pensions for an Aging Demographic," Handbook of the Economics of Population Aging, in: Piggott, John & Woodland, Alan (ed.), Handbook of the Economics of Population Aging, edition 1, volume 1, chapter 0, pages 865-904, Elsevier.
  5. Olivia S. Mitchell, 2018. "Enhancing risk management for an aging world," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(2), pages 115-136, September.
  6. Liang, Xiaoqing & Young, Virginia R., 2023. "Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 80-96.
  7. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
  8. Horneff, Vanya & Maurer, Raimond & Mitchell, Olivia S., 2023. "How would 401(k) ‘Rothification’ alter saving, retirement security, and inequality?," Journal of Pension Economics and Finance, Cambridge University Press, vol. 22(3), pages 265-283, July.
  9. Maurer, Raimond & Mitchell, Olivia S., 2021. "Older peoples' willingness to delay social security claiming," Journal of Pension Economics and Finance, Cambridge University Press, vol. 20(3), pages 410-425, July.
  10. Vanya Horneff & Raimond Maurer & Olivia S. Mitchell, 2016. "Putting the Pension Back in 401(k) Plans: Optimal versus Default Longevity Income Annuities," NBER Working Papers 22717, National Bureau of Economic Research, Inc.
  11. Vanya Horneff & Raimond Maurer & Olivia S. Mitchell, 2019. "How Would 401(k) ‘Rothification’ Alter Saving, Retirement Security, and Inequality?," Working Papers wp398, University of Michigan, Michigan Retirement Research Center.
  12. Pavel V. Shevchenko & Xiaolin Luo, 2016. "A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework," Risks, MDPI, vol. 4(3), pages 1-31, July.
  13. Maria Alexandrova & Nadine Gatzert, 2019. "What Do We Know About Annuitization Decisions?," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(1), pages 57-100, March.
  14. Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2019. "Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models," Computational Management Science, Springer, vol. 16(1), pages 217-248, February.
  15. Thorsten Moenig, 2021. "Efficient valuation of variable annuity portfolios with dynamic programming," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 1023-1055, December.
  16. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2023. "Hedging longevity risk in defined contribution pension schemes," Computational Management Science, Springer, vol. 20(1), pages 1-34, December.
  17. Pavel V. Shevchenko & Xiaolin Luo, 2016. "A unified pricing of variable annuity guarantees under the optimal stochastic control framework," Papers 1605.00339, arXiv.org.
  18. Horneff, Vanya & Liebler, Daniel & Maurer, Raimond & Mitchell, Olivia S., 2019. "Implications of money-back guarantees for individual retirement accounts: Protection then and now," SAFE Working Paper Series 263, Leibniz Institute for Financial Research SAFE.
  19. Alicia H. Munnell & Gal Wettstein & Wenliang Hou, 2022. "How best to annuitize defined contribution assets?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(1), pages 211-235, March.
  20. Gaurav Khemka & Adam Butt, 2017. "Non-Parametric Integral Estimation Using Data Clustering in Stochastic dynamic Programming: An Introduction Using Lifetime Financial Modelling," Risks, MDPI, vol. 5(4), pages 1-17, October.
  21. Jennifer Alonso Garcia & Michael Sherris & Samuel Thirurajah & Jonathan Ziveyi, 2020. "Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits," ULB Institutional Repository 2013/307889, ULB -- Universite Libre de Bruxelles.
  22. Bovenberg, Lans & Nijman, Theo, 2015. "Personal Pensions with Risk Sharing, Affordable, Adequate and Stable Private Pensions in Europe," Other publications TiSEM 847e1615-acc8-4a4d-ac4c-5, Tilburg University, School of Economics and Management.
  23. Kaschützke, B. & Maurer, R., 2016. "Investing and Portfolio Allocation for Retirement," Handbook of the Economics of Population Aging, in: Piggott, John & Woodland, Alan (ed.), Handbook of the Economics of Population Aging, edition 1, volume 1, chapter 0, pages 567-608, Elsevier.
  24. Kang, Boda & Ziveyi, Jonathan, 2018. "Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 43-56.
  25. Menoncin, Francesco & Regis, Luca, 2017. "Longevity-linked assets and pre-retirement consumption/portfolio decisions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 75-86.
  26. Olivia S. Mitchell, 2020. "Building Better Retirement Systems in the Wake of the Global Pandemic," NBER Working Papers 27261, National Bureau of Economic Research, Inc.
  27. Nijman, Theo E & Bovenberg, Lans, 2015. "Personal Pensions with Risk sharing: Affordable, Adequate and Stable Private Pensions in Europe," CEPR Discussion Papers 10538, C.E.P.R. Discussion Papers.
  28. Horneff, Vanya & Maurer, Raimond & Mitchell, Olivia S., 2017. "How persistent low expected returns alter optimal life cycle saving, investment, and retirement behavior," SAFE Working Paper Series 190, Leibniz Institute for Financial Research SAFE.
  29. Thorsten Moenig & Daniel Bauer, 2016. "Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities," Review of Finance, European Finance Association, vol. 20(2), pages 759-794.
  30. Huansang Xu & Ruyi Liu & Marek Rutkowski, 2023. "Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts," Papers 2305.09472, arXiv.org, revised Apr 2024.
  31. Forsyth, Peter A., 2020. "Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 230-245.
  32. Moenig, Thorsten, 2021. "Variable annuities: Market incompleteness and policyholder behavior," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 63-78.
  33. Muhammad Kashif & Francesco Menoncin & Iqbal Owadally, 2020. "Optimal portfolio and spending rules for endowment funds," Review of Quantitative Finance and Accounting, Springer, vol. 55(2), pages 671-693, August.
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