9th Joint International Conference on Information Sciences (JCIS-06)

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

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@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}
}
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