英文标题：
《Annuitization and asset allocation》
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作者：
Moshe A. Milevsky, Virginia R. Young
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最新提交年份：
2015
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英文摘要：
  This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutional restrictions. We focus on the impact of aging on the optimal purchase of life annuities which form the basis of most Defined Benefit pension plans. Due to adverse selection, acquiring a lifetime payout annuity is an irreversible transaction that creates an incentive to delay. Under the institutional all-or-nothing arrangement where annuitization must take place at one distinct point in time (i.e. retirement), we derive the optimal age at which to annuitize and develop a metric to capture the loss from annuitizing prematurely. In contrast, under an open-market structure where individuals can annuitize any fraction of their wealth at anytime, we locate a general optimal annuity purchasing policy. In this case, we find that an individual will initially annuitize a lump sum and then buy annuities to keep wealth to one side of a separating ray in wealth-annuity space. We believe our paper is the first to integrate life annuity products into the portfolio choice literature while taking into account realistic institutional restrictions which are unique to the market for mortality-contingent claims.
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中文摘要：
本文研究了在各种制度约束下，面对随机死亡时间的效用最大化退休人员的最优年金化、投资和消费策略。我们关注老龄化对终身年金最优购买的影响，终身年金是大多数固定收益养老金计划的基础。由于逆向选择，获得终身支付年金是一种不可逆的交易，会产生拖延的动机。在制度性的“要么全有要么全无”安排下，年金必须在一个不同的时间点（即退休）进行，我们得出了最佳年金年龄，并制定了一个指标来捕捉过早年金的损失。相比之下，在一个开放的市场结构下，个人可以随时将其财富的任何部分进行年金化，我们找到了一个通用的最优年金购买政策。在这种情况下，我们发现个人最初会一次性年金化，然后购买年金，以将财富保持在财富年金空间中分离光线的一侧。我们相信，我们的论文首次将人寿年金产品整合到投资组合选择文献中，同时考虑到死亡率或有索赔市场特有的现实制度限制。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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