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Pensionmetrics 2: stochastic pension plan design during the distribution phase · Study

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ArticlePensionmetrics 2: stochastic pension plan design during the distribution phase

David P. Blake2003

Article2003

Pensionmetrics 2: stochastic pension plan design during the distribution phase

David P. Blake · Andrew J. G. Cairns · Kevin Dowd

172 citations·0/0 files stored·Insurance Mathematics and Economics

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Financial Literacy, Pension, Retirement Analysis Stochastic processes and financial applications Insurance, Mortality, Demography, Risk Management

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 1965Uncertain Lifetime, Life Insurance, and the Theory of the Consumer 1991Continuous-Time Finance.1999New Evidence on the Money's Worth of Individual Annuities 1991How Strong Are Bequest Motives? Evidence Based on Estimates of the Demand for Life Insurance and Annuities 2002Selection Effects in the United Kingdom Individual Annuities Market 1990The Cost of Annuities: Implications for Saving Behavior and Bequests

Cited by

2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities 2009Asset allocation and location over the life cycle with investment-linked survival-contingent payouts 2004Optimal investment choices post-retirement in a defined contribution pension scheme 2008Life-cycle asset allocation with annuity markets 2007Following the rules: Integrating asset allocation and annuitization in retirement portfolios

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Details

Year2003

Typearticle

Published2003-08-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations172

Files0 public / 0

ShelfFinancial Literacy, Pension, Retirement Analysis

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doi10.1016/s0167-6687(03)00141-0

openalex_workW2124861173

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2009Evaluating the Advanced Life Deferred Annuity — An annuity people might actually buy

2010Optimal Annuity Risk Management

2009Variable payout annuities and dynamic portfolio choice in retirement