In the last few decades, in many countries, the defined benefit pension plans havebeen replacedby the defined contribution plans. Since the financial risks are mostlyborne by the plan membersin defined contribution plans, the portfolio managementis very important to the members inboth accumulation phase and de-accumulationphase of the plan. In this thesis, we consider thede-accumulation phase and studythe problem of choosing the optimal time of annuitization inpost-retirement that isvital in reducing the annuity risk. Many researchers have studied theannuitizationoptimal time in different Brownian motion models and by employing various utilityfunctions. We have considered three new directions in this study. Firstly, we usejump-diffusion process instead of the Brownian motion for modeling the risky asset.Secondly, insteadof maximizing an economic utility, we maximize the market valueof future cash-flows. By usingthe Wiener–Hopf factorization, we determine the continuation region, which is restricted in thetime-return domain by an upper and a lowerboundary. Furthermore, we consider the nonconstant mortality rate with GompertzMakeham law. Finally, a method is proposed to computethe probability of annuitization
Dadashi Arani, H. (2018). Optimal Timing for Annuitization, based on Jump-Diffusion Dynamics and Stochastic Mortality. Social Security Journal, 14(1), 168-207.
MLA
Hassan Dadashi Arani. "Optimal Timing for Annuitization, based on Jump-Diffusion Dynamics and Stochastic Mortality". Social Security Journal, 14, 1, 2018, 168-207.
HARVARD
Dadashi Arani, H. (2018). 'Optimal Timing for Annuitization, based on Jump-Diffusion Dynamics and Stochastic Mortality', Social Security Journal, 14(1), pp. 168-207.
VANCOUVER
Dadashi Arani, H. Optimal Timing for Annuitization, based on Jump-Diffusion Dynamics and Stochastic Mortality. Social Security Journal, 2018; 14(1): 168-207.
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