Research
On-device research index

arXiv research

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.

169,181 papers · 148 categories

Trend · papers per month

count% of corpus
0111 · Feb 201819922001200920182026
8 results for “post-retirement”
Optimal annuitization post-retirement with labor incomeq-fin.PM

The paper examines optimal annuitization for retirees with potential post-retirement work.

problem Post-retirement labor participation complicates optimal annuitization decisions.
method Stochastic control, optimal stopping, expected utility maximization, martingale methodology, duality techniques.
result The optimal annuitization time is linearly dependent on initial wealth, with or without labor income.
annuitizationretirementlabor participationstochastic controlutility maximization
2022-02-09abs ↗pdf ↗
Optimal investment-consumption problem: post-retirement with minimum guaranteeq-fin.PM

Optimizes investment and consumption for post-retirement with minimum guarantee.

problem Maximizing final annuity with minimum guarantee during decumulation phase.
method Dynamic programming via Hamilton-Jacobi-Bellman (HJB) equation, finite difference method.
result Existence and uniqueness of classical solutions proved through dual transformation.
investment-consumption problempost-retirementminimum guaranteedynamic programmingHamilton-Jacobi-Bellman equation
2018-02-22abs ↗pdf ↗
Collectivised Post-Retirement Investmentq-fin.PM

Collectivized funds need less initial capital to match individual funds, improving pension adequacy.

problem Determining optimal fund management for diverse investor needs.
method Modeling collectivized investment funds with realistic parameters and demonstrating their superiority over individual funds.
result Collectivized funds require less initial capital to match individual funds, enhancing pension adequacy.
collectivized fundspension adequacyfund managementheterogeneous investors
2019-09-27abs ↗pdf ↗
Optimal post-retirement investment under longevity risk in collective fundsq-fin.MF

Optimizes investment strategies for retirees with longevity risk.

problem Maximizing retirement savings under longevity risk for a group of investors.
method Analytic and numerical solutions for investment strategies in both discrete and continuous time models.
result Analytic formulae for optimal investment strategies in both discrete and continuous time models.
retirement investmentlongevity riskcollective fundsBlack-Scholes modelEpstein-Zin preferences
2024-09-06abs ↗pdf ↗
A Portfolio Choice Problem Under Risk Capacity Constraintq-fin.PM

Paper studies optimal investing for retirees with risk constraints.

problem Retirees' longevity and living standard risks in a fluctuating market.
method Formulated as a portfolio choice problem under time-varying risk capacity constraint. Derived optimal investment strategy using differential equations. Demonstrated endogenous spending measure and active investment strategy.
result Time-varying risk capacity constraint impacts asset allocation in retirement.
retirement investinglongevity riskliving standard riskportfolio choicerisk capacity constraint
2020-05-28abs ↗pdf ↗
Optimal annuitization with labor income under age-dependent force of mortalityq-fin.PM

Optimal annuitization strategy depends on age, labor income, and mortality risk.

problem Maximizing utility from consumption and labor income under age-dependent mortality.
method Dynamic programming approach to derive closed-form solutions.
result Post-retirement labor income acts as a substitute for annuitization.
annuitizationlabor incomemortality riskdynamic programmingutility maximization
2025-10-11abs ↗pdf ↗
The implied longevity curve: How long does the market think you are going to live?q-fin.MF

Market prices imply improved longevity forecasts for older individuals.

problem Determining the market's perception of human longevity.
method Inverted a Cox-Ingersoll-Ross (CIR) model for yield curves and a Gompertz-Makeham (GM) law for mortality.
result Markets implied an improvement in longevity of 6-7 weeks per year for males and 1-3 weeks for females over the last decade.
longevityannuitiesmarket perceptionCox-Ingersoll-RossGompertz-Makeham
2018-11-25abs ↗pdf ↗
Intergenerational cross-subsidies in UK Collective Defined Contribution (CDC) fundsq-fin.GN

Study evaluates UK CDC schemes, finding intergenerational cross-subsidies in flat-accrual schemes and dynamic-accrual schemes can reduce but not eliminate them.

problem Intergenerational cross-subsidies in UK CDC schemes, particularly in flat-accrual schemes.
method Comparison of flat-accrual and dynamic-accrual CDC schemes, analysis of performance and level of cross-subsidies.
result Dynamic-accrual schemes can reduce but not eliminate intergenerational cross-subsidies, while flat-accrual schemes often have significant cross-subsidies.
UK CDC schemesintergenerational cross-subsidiesflat-accrualdynamic-accrualperformance comparison
2024-11-10abs ↗pdf ↗