Journal article
Optimal asset allocation in life annuities: a note
Abstract
In this note, we derive the optimal utility-maximizing asset allocation between a risky and risk-free asset within a variable annuity (VA) contract, which is a US-based savings and decumulation investment product. We are interested in the interaction between financial risk, mortality risk and consumption, towards the end of the life cycle. Our main result is that for constant relative risk aversion (CRRA) preferences and geometric Brownian …
Authors
Charupat N; Milevsky MA
Journal
Insurance Mathematics and Economics, Vol. 30, No. 2, pp. 199–209
Publisher
Elsevier
Publication Date
April 2002
DOI
10.1016/s0167-6687(02)00097-5
ISSN
0167-6687