Optimal allocation to Deferred Income Annuities
نویسندگان
چکیده
منابع مشابه
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process to be increasing adapted processes, we find that the individual will not buy a deferred life annuity unless she can cover all her consumption via the annuit...
متن کاملO ct 2 00 7 Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin ∗
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process to be the set of increasing adapted processes, we find that the individual will not buy a deferred life annuity unless she can cover all her consumption...
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uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
15 صفحه اولA stochastic programming model for funding single premium deferred annuities
Single Premium Deferred Annuities (SPDAs) are investment vehicles, o ered to investors by insurance companies as a means of providing income past their retirement age. They are mirror images of insurance policies. However, the propensity of individuals to shift part, or all, of their investment into di erent annuities creates substantial uncertainties for the insurance company. In this paper we...
متن کاملOptimal Reversible Annuities to Minimize the Probability of Lifetime Ruin
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The surrender charge of a life annuity is a proportion of its value. Ruin occurs when the total of the value of the risky and riskless assets and the surrender value of the life annuity reaches zero. We find the optimal inve...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2020
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2019.05.001