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Optimal asset allocation in life annuities: a note

  • Published:2002-04 Issue:2 Volume:30 Page:199-209
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Charupat Narat,Milevsky Moshe A.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference30 articles.

1. Interest and mortality randomness in some annuities;Beekman;Insurance: Mathematics and Economics,1990

2. Extra randomness in certain annuity models;Beekman;Insurance: Mathematics and Economics,1991

3. Labor supply flexibility and portfolio choice in a life cycle model;Bodie;Journal of Economic Dynamics and Control,1992

4. Bowers, N., Gerber, H., Hickman, J., Jones, D., Nesbit, C., 1986. Actuarial Mathematics. The Society of Actuaries.

5. Carriere, J., 1994. An Investigation of the Gompertz Law of Mortality. Actuarial Research Clearing House 2.

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