Decisions in Retirement

Decisions in Retirement

Decisions in Retirement

This project develops pricing of retirement income products such as variable annuity guarantees and studies optimal decisions in retirements such as optimal allocation into risky assets, annuity, housing.

Collaborators: Pavel Shevchenko, Xiaolin Luo, Johan Andréasson, Alex Novikov, Jin Sun

Publications

Pricing retirement income products

  • J. Sun, P.V. Shevchenko, M.C. Fung (2017). A Note on the Impact of Management Fees on the Pricing of Variable Annuity Guarantees. Preprint, http://ssrn.com/abstract=2967045
  • P.V. Shevchenko and X. Luo (2017). Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate. Insurance: Mathematics and Economics 76, 104-117; doi: 10.1016/j.insmatheco.2017.06.008. Preprint http://arxiv.org/abs/1602.03238

Optimal decisions in retirement

  • Andréasson, Johan G. and Shevchenko, Pavel V. (2017). Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement. Risks 5, 47:1-47:21; doi:10.3390/risks5030047. Preprint https://ssrn.com/abstract=2875551.
  • Johan G. Andréasson, Pavel V. Shevchenko, Alex Novikov (2017). Optimal consumption, investment and housing with means-tested public pension in retirement. Insurance: Mathematics and Economics 75, 32-47. Preprint, http://arxiv.org/abs/1606.08984.

Resources

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