Glide paths for a retirement plan with deferred annuities
-
Published:2021-08-31
Issue:
Volume:
Page:1-17
-
ISSN:1474-7472
-
Container-title:Journal of Pension Economics and Finance
-
language:en
-
Short-container-title:Journal of Pension Economics and Finance
Author:
Jang ChulORCID,
Clare Andrew,
Owadally Iqbal
Abstract
Abstract
We construct investment glide paths for a retirement plan using both traditional asset classes and deferred annuities (DAs). The glide paths are approximated by averaging the asset proportions of stochastic optimal investment solutions. The objective function consists of power utility in terms of secured retirement income from purchased DAs, as well as a bequest that can be withdrawn before retirement. Compared with conventional glide paths and investment strategies, our DA-enhanced glide paths provide the investor with higher welfare gains, more efficient investment portfolios and more responsive retirement income patterns and bequest levels to different fee structures and personal preferences.
Publisher
Cambridge University Press (CUP)
Subject
Organizational Behavior and Human Resource Management,Economics and Econometrics,Finance,Organizational Behavior and Human Resource Management,Economics and Econometrics,Finance
Reference29 articles.
1. Retirement planning in individual asset-liability management;Consigli;Journal of Management Mathematics,2012
2. Optimal Annuity Risk Management*
3. Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund;Boulier;Insurance: Mathematics and Economics,2001
4. Asset liability management for individual households