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Optimal asset allocation in life annuities: a note

  • 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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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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    1. 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.
    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. Merton, Robert C., 1973. "An asymptotic theory of growth under uncertainty," Working papers 673-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    4. Carriere, Jacques F., 1999. "No-arbitrage pricing for life insurance and annuities," Economics Letters, Elsevier, vol. 64(3), pages 339-342, September.
    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. Vanneste, M. & Goovaerts, M. J. & De Schepper, A. & Dhaene, J., 1997. "A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 35-41, June.
    7. 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.
    8. Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
    9. James M. Poterba & David A. Wise, 1998. "Individual Financial Decisions in Retirement Saving Plans and the Provision of Resources for Retirement," NBER Chapters, in: Privatizing Social Security, pages 363-401 National Bureau of Economic Research, Inc.
    10. 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.
    11. 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.
    12. Vanneste, M. & Goovaerts, M. J. & Labie, E., 1994. "The distributions of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 37-48, October.
    13. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    14. 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.
    15. Strawczynski, Michel, 1999. "Income uncertainty and the demand for annuities," Economics Letters, Elsevier, vol. 63(1), pages 91-96, April.
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