Annuity Planning and Consumption-Investment Choices in Retirement Planning
- Authors
- Zhisheng Li 0, Aparna Gupta
- Corresponding author
- Zhisheng Li
0Decision Sci. & Eng. Systems, Rensselaer Polytechnic Inst.
- DOI
- https://doi.org/10.2991/jcis.2006.29How to use a DOI?
- Keywords
- Annuity; Annuitization;Consumption-investment selections;Utility; Optimization
- Abstract
- Annuities can be effective tools in managing longevity risk in retirement planning. This paper develops a framework that merges annuity purchase decisions with consumption-investment selections in retirement planning. After introducing a pricing model and a benefit payment model for an annuity, we construct a multi-period wealth evolution model. An optimization problem is formulated with an objective of maximizing life time utility of consumptions and wealth. Optimal decisions are determined as a trade off between consumption and investment among an annuity, a risky and a risk-free asset.
- Copyright
- © The authors. This article is distributed under the terms of the Creative Commons Attribution License 4.0, which permits non-commercial use, distribution and reproduction in any medium, provided the original work is properly cited. See for details: https://creativecommons.org/licenses/by-nc/4.0/
- Open Access | Under Creative Commons license CC BY-NC 4.0
Cite this article
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bib
@inproceedings{Li2006,
title={Annuity Planning and Consumption-Investment Choices in Retirement Planning},
author={Li, Zhisheng and Gupta, Aparna},
year={2006},
booktitle={9th Joint International Conference on Information Sciences (JCIS-06)},
issn={1951-6851},
isbn={978-90-78677-01-7},
url={http://dx.doi.org/10.2991/jcis.2006.29},
doi={10.2991/jcis.2006.29},
publisher={Atlantis Press}
}