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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. James M. Poterba & David A. Wise, 1996. "Individual Financial Decisions in Retirement Saving Plans and The Provision of Resources for Retirement," NBER Working Papers 5762, National Bureau of Economic Research, Inc.
    2. 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.
    3. Vanneste, M. & Goovaerts, M. J. & Labie, E., 1994. "The distributions of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 37-48, October.
    4. 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.
    5. 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.
    6. Strawczynski, Michel, 1999. "Income uncertainty and the demand for annuities," Economics Letters, Elsevier, vol. 63(1), pages 91-96, April.
    7. 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.
    8. Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992. "Labor supply flexibility and portfolio choice in a life cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449.
    9. Majumdar, Mukul & Radner, Roy, 1991. "Linear Models of Economic Survival under Production Uncertainty," Economic Theory, Springer, vol. 1(1), pages 13-30, January.
    10. Merton, Robert C., 1973. "An asymptotic theory of growth under uncertainty," Working papers 673-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    11. Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
    12. 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.
    13. 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.
    14. Carriere, Jacques F., 1999. "No-arbitrage pricing for life insurance and annuities," Economics Letters, Elsevier, vol. 64(3), pages 339-342, September.
    15. 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.
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