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Glide paths for a retirement plan with deferred annuities
- Authors
- Jang, Chul; Clare, Andrew; Owadally, Iqbal
- Issue Date
- Oct-2022
- Publisher
- Cambridge University Press (CUP)
- Keywords
- glide-path strategy; Key words Deferred annuity; multi-stage stochastic programming; retirement planning
- Citation
- Journal of Pension Economics and Finance, v.21, no.4, pp.565 - 581
- Journal Title
- Journal of Pension Economics and Finance
- Volume
- 21
- Number
- 4
- Start Page
- 565
- End Page
- 581
- ISSN
- 1474-7472
- Abstract
- <jats:title>Abstract</jats:title><jats:p>We construct investment glide paths for a retirement plan using both traditional asset classes and deferred annuities (DAs). The glide paths are approximated by averaging the asset proportions of stochastic optimal investment solutions. The objective function consists of power utility in terms of secured retirement income from purchased DAs, as well as a bequest that can be withdrawn before retirement. Compared with conventional glide paths and investment strategies, our DA-enhanced glide paths provide the investor with higher welfare gains, more efficient investment portfolios and more responsive retirement income patterns and bequest levels to different fee structures and personal preferences.</jats:p>
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Related Researcher
- Jang, Chul
- COLLEGE OF BUSINESS AND ECONOMICS (DEPARTMENT OF ACTUARIAL SCIENCE)