Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting*
Author:
Affiliation:
1. York University,
2. Schulich School of Business, York University and
3. University of Michigan
Publisher
Oxford University Press (OUP)
Subject
Finance,Economics and Econometrics,Accounting
Link
http://academic.oup.com/rof/article-pdf/21/1/327/26321001/rfw003.pdf
Reference34 articles.
1. Minimizing the probability of lifetime ruin with deferred life annuities;Bayraktar;North American Actuarial Journal,2009
2. Annuitization puzzles;Benartzi;Journal of Economic Perspectives,2011
3. The valuation of American put options;Brennan;Journal of Finance,1977
4. A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration;Cairns;Journal of Risk and Insurance,2006
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