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Can a Continuously-Liquidating Tontine (or Mutual Inheritance Fund) Succeed where Immediate Annuities Have Floundered?
Age Characteristics Annuities Investment Return Investment Funds Saving Retirement
2015/4/23
A new instrument (the Mutual Inheritance Fund or MIF) is proposed whose purpose is to help people carry their savings forward from the moment they retire into their old age. Like annuities, this instr...
Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin
Life annuities retirement optimali nvestment stochastic control free-boundary problem
2010/4/27
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The surrender charge of a l...
Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin
Optimal Reversible Annuities Minimize Probability Lifetime Ruin
2010/10/18
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The surrender charge of a l...
A. Marciniuk and A. Weron, On annuities under random rates of interest with payments varying in arithmetic and geometric progression
Annuity accumulated value random interest rate
2009/9/21
In the article we consider accumulated values of annuities-
certain with yearly payments with independent random interest
rates. We focus on general annuities with payments varying in arithmetic
an...
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
Mortality Risk Sharpe Ratio Life Annuities
2010/12/13
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this ri...