TY  - UNPD
A1  - Horneff, Wolfram J.
A1  - Maurer, Raimond
A1  - Stamos, Michael
T1  - Optimal gradual annuitization : quantifying the costs of switching to annuities
T2  - Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 174
N2  - We compute the optimal dynamic asset allocation policy for a retiree with Epstein-Zin utility. The retiree can decide how much he consumes and how much he invests in stocks, bonds, and annuities. Pricing the annuities we account for asymmetric mortality beliefs and administration expenses. We show that the retiree does not purchase annuities only once but rather several times during retirement (gradual annuitization). We analyze the case in which the retiree is restricted to buy annuities only once and has to perform a (complete or partial) switching strategy. This restriction reduces both the utility and the demand for annuities.
T3  - Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting - 174 
KW  - portfolio choice
KW  - dynamic asset allocation
KW  - insurance
KW  - annuities
KW  - pensions
KW  - retirement
KW  - retirement policies
KW  - Rentner
KW  - Asset-Backed Security
KW  - Portfoliomanagement
Y1  - 2007
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/2981
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-43610
PB  - Univ., Fachbereich Wirtschaftswiss.
CY  - Frankfurt am Main
ER  -