Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
نویسندگان
چکیده
منابع مشابه
mortality forecasting based on lee-carter model
over the past decades a number of approaches have been applied for forecasting mortality. in 1992, a new method for long-run forecast of the level and age pattern of mortality was published by lee and carter. this method was welcomed by many authors so it was extended through a wider class of generalized, parametric and nonlinear model. this model represents one of the most influential recent d...
15 صفحه اولOptimal Portfolio Problem for Stochastic-Volatility, Jump-Diffusion Models with Jump-Bankruptcy Condition: Practical Theory
This paper treats the risk-averse optimal portfolio problem with consumption in continuous time with a stochastic-volatility, jump-diffusion (SVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SVJD model with double-uniform jumpamplitude distributions and time-varying market parameters for the optimal portfolio problem. Although unlimited borro...
متن کاملAnnuitization and Retirement Timing Decisions
This paper analyzes retirement timing decisions of DC pension plan members. In this paper the optimal annuitization timing decision is incorporated into the retirement timing decision. I rst develop a retirement decision model and generate a forward looking retirement likelihood measure from this model. This measure describes the probability that an individual will retire within the next few y...
متن کاملAnnuitization with Mortality Heterogeneity
This article examines the distributional implications of mandatory longevity insurance when mortality heterogeneity exists in the population. Previous research has demonstrated the significant financial redistribution that occurs under alternative annuity programs in the presence of differential mortality across groups. This article embeds that analysis into a life-cycle framework that allows f...
متن کاملOptimal Portfolio Problem for Stochastic-Volatility, Jump-Diffusion Models with Jump-Bankruptcy Condition: Practical Theory and Computation
Abstract This paper treats the risk-averse optimal portfolio problem with consumption in continuous time with a stochastic-volatility, jump-diffusion (SVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SVJD model with double-uniform jump-amplitude distributions and time-varying market parameters for the optimal portfolio problem. Although unlim...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2014
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2014.04.008