A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Maximizing withdrawal success in a pooled annuity fund with multiple annuitants.
Unified framework explains retirement and annuitization decisions under age-dependent mortality.
Optimal annuitization strategy depends on age, labor income, and mortality risk.
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 pen…
The paper analyzes optimal timing for converting wealth into annuities in the presence of a mortality shock.
The paper examines optimal annuitization for retirees with potential post-retirement work.
Optimal timing for converting savings into annuities considering mortality risk.
Study finds actuarial unfairness in China's pension system, proposing income-dependent annuitization rules.
We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover, to have a minimum guarantee for the final annuity, a safety level for the wealt…
The paper studies pricing of insurance products focusing on the pricing of annuities under uncertainty. This pricing problem is crucial for financial decision making and was studied intensively, however, many open questions still remain. In particular, there is a so-called "annuity puzzle" related to certain inconsiste…
Various types of structures that enable a group of individuals to pool their mortality risk have been proposed in the literature. Collectively, the structures are called pooled annuity funds. Since the pooled annuity funds propose different methods of pooling mortality risk, we investigate the connections between them …
The paper optimizes retirement spending considering habit formation and pension income.
Refundable income annuities offer a money-back guarantee, now the majority of sales.
This paper analyzes a novel type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product fuses together a path-dependent equity put option with a "personal longevity" call option. The annuitant's (i.e. long position) payoff from a generic RCLA is \$1 of income per year for life, akin to…
We use life annuity prices to extract information about human longevity using a framework that links the term structure of mortality and interest rates. We invert the model and perform nonlinear least squares to obtain implied longevity forecasts. Methodologically, we assume a Cox-Ingersoll-Ross (CIR) model for the und…
The paper explores how to fairly share longevity risk among participants of tontine schemes.