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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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  • Charupat, Narat & Milevsky, Moshe A., 2002. "Optimal asset allocation in life annuities: a note," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 199-209, April.
    • Handle: RePEc:eee:insuma:v:30:y:2002:i:2:p:199-209
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    References listed on IDEAS

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    1. Majumdar, Mukul & Radner, Roy, 1991. "Linear Models of Economic Survival under Production Uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(1), pages 13-30, January.
    2. 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.
    3. Carriere, Jacques F., 1999. "No-arbitrage pricing for life insurance and annuities," Economics Letters, Elsevier, vol. 64(3), pages 339-342, September.
    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. 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.
    6. 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.
    7. Vanneste, M. & Goovaerts, M. J. & Labie, E., 1994. "The distributions of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 37-48, October.
    8. 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.
    9. Strawczynski, Michel, 1999. "Income uncertainty and the demand for annuities," Economics Letters, Elsevier, vol. 63(1), pages 91-96, April.
    10. 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.
    11. Menahem E. Yaari, 1965. "Uncertain Lifetime, Life Insurance, and the Theory of the Consumer," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 32(2), pages 137-150.
    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. Robert C. Merton, 1975. "An Asymptotic Theory of Growth Under Uncertainty," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 42(3), pages 375-393.
    14. 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.
    15. 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.
    16. 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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