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Income drawdown option with minimum guarantee

Author

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  • Di Giacinto, Marina
  • Federico, Salvatore
  • Gozzi, Fausto
  • Vigna, Elena

Abstract

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.

Suggested Citation

  • Di Giacinto, Marina & Federico, Salvatore & Gozzi, Fausto & Vigna, Elena, 2014. "Income drawdown option with minimum guarantee," European Journal of Operational Research, Elsevier, vol. 234(3), pages 610-624.
    • Handle: RePEc:eee:ejores:v:234:y:2014:i:3:p:610-624
    DOI: 10.1016/j.ejor.2013.10.026
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    Citations

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    1. Lijun Bo & Huafu Liao & Xiang Yu, 2020. "Optimal Tracking Portfolio with A Ratcheting Capital Benchmark," Papers 2006.13661, arXiv.org, revised Apr 2021.
    2. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: A Stochastic Optimal Control Approach," Risks, MDPI, vol. 6(2), pages 1-20, April.
    3. Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
    4. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
    5. Alessandra Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: a Stochastic Optimal Control Approach," Carlo Alberto Notebooks 553, Collegio Carlo Alberto.
    6. Alessandro Milazzo & Elena Vigna, 2018. "“The Italian Pension Gap: a Stochastic Optimal Control Approach"," CeRP Working Papers 179, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    7. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 32, July-Dece.
    8. Ayşegül İşcanog̃lu-Çekiç, 2016. "An Optimal Turkish Private Pension Plan with a Guarantee Feature," Risks, MDPI, vol. 4(3), pages 1-12, June.
    9. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: a Stochastic Optimal Control Approach," Papers 1804.05354, arXiv.org.
    10. Hassan Dadashi, 2018. "Optimal investment-consumption problem: post-retirement with minimum guarantee," Papers 1803.00611, arXiv.org, revised Aug 2020.
    11. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    12. Lijun Bo & Yijie Huang & Xiang Yu, 2023. "Stochastic control problems with state-reflections arising from relaxed benchmark tracking," Papers 2302.08302, arXiv.org, revised Aug 2023.
    13. Dadashi, Hassan, 2020. "Optimal investment–consumption problem: Post-retirement with minimum guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 160-181.
    14. Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
    15. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016.

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    More about this item

    Keywords

    Pension fund; Decumulation phase; Constrained portfolio; Stochastic optimal control; Dynamic programming; Hamilton–Jacobi–Bellman equation;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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