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.
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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.
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Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Publication Date
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ISBN
978-90-78677-01-7
DOI
https://doi.org/10.2991/jcis.2006.29How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

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AU  - Zhisheng Li
AU  - Aparna Gupta
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TI  - Annuity Planning and Consumption-Investment Choices in Retirement Planning
BT  - 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
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DO  - https://doi.org/10.2991/jcis.2006.29
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