An incomplete equilibrium with a stochastic annuity
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DOI: 10.1007/s00780-020-00415-6
Abstract: We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimise their expected utility over both running consumption and terminal wealth. The market consists of a traded annuity, and… read more here.
Keywords: annuity; equilibrium; finance; stochastic annuity ... See more keywords
A Note on the Linear and Annuity Class of Depreciation Methods
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DOI: 10.1016/j.ijpe.2018.05.004
Abstract: The following four elementary depreciation methods are often mentioned together in the literature: Nominal linear, real linear, nominal annuity, and real annuity. All four are shown to be special cases of one generic formula. For… read more here.
Keywords: annuity; depreciation methods; depreciation; annuity class ... See more keywords
Optimal annuitization under stochastic interest rates
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DOI: 10.1017/asb.2024.23
Abstract: Abstract The decision about when and how much to annuitize is an important element of the retirement planning of most individuals. Optimal annuitization strategies depend on the individual’s exposure to annuity risk, meaning the possibility… read more here.
Keywords: optimal annuitization; annuitization; risk; stochastic interest ... See more keywords
Valuation of a Mixture of GMIB and GMDB Variable Annuity
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DOI: 10.3390/math12030441
Abstract: The Guaranteed Minimum Income Benefit (GMIB) and Guaranteed Minimum Death Benefit (GMDB) are options that may be included at the inception of a variable annuity (VA) contract. In exchange for small fees charged by the… read more here.
Keywords: gmib gmdb; annuity; guaranteed minimum; variable annuity ... See more keywords