Modeling and Analysis of the Combined Problem of Annuity Planning and Consumption-investment Selections
By simultaneously considering the financial risk and longevity risk, this paper develops a discrete multi-period framework that integrates annuity purchase decisions with consumption-investment selections in retirement planning, so as to discuss the optimal allocation of wealth in consumption, annuity and traditional assets. Computational results are provided to demonstrate the construction of consumption and investment selections with longevity protection, as well as analyze the effect on decisions of a planners social-economic background and behavioral preferences.
Longevity risk Annuitization Consumption-investment selections Risk aversion
Zhisheng Li
School of Finance Zhongnan University of Economics and Law Wuhan, China
国际会议
北京
英文
256-260
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）