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Volumn 9, Issue 2, 2006, Pages 151-170

Optimal timing of the annuity purchase: Combined stochastic control and optimal stopping problem

Author keywords

Annuities; Asset allocation; Optimal stopping; Stochastic control

Indexed keywords


EID: 33644799207     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024906003524     Document Type: Article
Times cited : (28)

References (19)
  • 1
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    • Brown, J.R.1
  • 2
    • 0008134784 scopus 로고
    • Uncertain lifetimes, retirement and economic welfare
    • F. R. Chang, Uncertain lifetimes, retirement and economic welfare, Economica 58 (1991) 215-232.
    • (1991) Economica , vol.58 , pp. 215-232
    • Chang, F.R.1
  • 5
    • 0035218196 scopus 로고    scopus 로고
    • Life-cycle modeling of bequests and their impact on annuity valuation
    • A. Jousten, Life-cycle modeling of bequests and their impact on annuity valuation, Journal of Public Economics 79 (2001) 149-177.
    • (2001) Journal of Public Economics , vol.79 , pp. 149-177
    • Jousten, A.1
  • 6
    • 0034413716 scopus 로고    scopus 로고
    • A portfolio approach to the optimal funding of pensions
    • S. Kapur and M. Orszag, A portfolio approach to the optimal funding of pensions, Economic Letters 69 (2000) 201-206.
    • (2000) Economic Letters , vol.69 , pp. 201-206
    • Kapur, S.1    Orszag, M.2
  • 11
    • 0011090049 scopus 로고
    • Optimum consumption and portfolio rules in a continuos-time model
    • R. Merton, Optimum consumption and portfolio rules in a continuos-time model, Journal of Economic Theory 3 (1971) 373-413.
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.1
  • 12
    • 0040858809 scopus 로고    scopus 로고
    • Optimal asset allocation towards the end of the life cycle: To annuitize or not to annuitize?
    • M. A. Milevsky, Optimal asset allocation towards the end of the life cycle: To annuitize or not to annuitize? The Journal of Risk and Insurance 65 (1998) 401-426.
    • (1998) The Journal of Risk and Insurance , vol.65 , pp. 401-426
    • Milevsky, M.A.1
  • 17
    • 84985422249 scopus 로고
    • Optimal stopping of one-dimensional diffusions
    • P. Salminen, Optimal stopping of one-dimensional diffusions, Mathematische Nachrichten 124 (1985) 85-101.
    • (1985) Mathematische Nachrichten , vol.124 , pp. 85-101
    • Salminen, P.1
  • 19
    • 10444239779 scopus 로고
    • Uncertain lifetime, life insurance and the theory of the consumer
    • M. E. Yaari, Uncertain lifetime, life insurance and the theory of the consumer, Review of Economic Studies 32 (1965) 137-150.
    • (1965) Review of Economic Studies , vol.32 , pp. 137-150
    • Yaari, M.E.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.