Optimal Smooth Consumption and Annuity Design
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Optimal Smooth Consumption and Annuity Design. / Bruhn, Kenneth; Steffensen, Mogens.
I: Journal of Banking & Finance, Bind 37, Nr. 8, 2013, s. 2693-2701.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Optimal Smooth Consumption and Annuity Design
AU - Bruhn, Kenneth
AU - Steffensen, Mogens
PY - 2013
Y1 - 2013
N2 - We propose an optimization criterion that yields extraordinary consumption smoothing compared to the well known results of the life-cycle model. Under this criterion we solve the related consumption and investment optimization problem faced by individuals with preferences for intertemporal stability in consumption. We find that the consumption and investment patterns demanded under the optimization criterion is in general offered as annuity benefits from products in the class of ‘Formula Based Smoothed Investment-Linked Annuities’.
AB - We propose an optimization criterion that yields extraordinary consumption smoothing compared to the well known results of the life-cycle model. Under this criterion we solve the related consumption and investment optimization problem faced by individuals with preferences for intertemporal stability in consumption. We find that the consumption and investment patterns demanded under the optimization criterion is in general offered as annuity benefits from products in the class of ‘Formula Based Smoothed Investment-Linked Annuities’.
U2 - 10.1016/j.jbankfin.2013.03.015
DO - 10.1016/j.jbankfin.2013.03.015
M3 - Journal article
VL - 37
SP - 2693
EP - 2701
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
IS - 8
ER -
ID: 102776744