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- W3124805916 abstract "It is known that the decision to purchase an annuity may be associated to an optimal stopping problem. However, little is known about optimal strategies, if the mortality force is a generic function of time and if the `subjective' life expectancy of the investor differs from the `objective' one adopted by insurance companies to price annuities. In this paper we address this problem considering an individual who invests in a fund and has the option to convert the fund's value into an annuity at any time. We formulate the problem as a real option and perform a detailed probabilistic study of the optimal stopping boundary. Due to the generic time-dependence of the mortality force, our optimal stopping problem requires new solution methods to deal with non-monotonic optimal boundaries." @default.
- W3124805916 created "2021-02-01" @default.
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- W3124805916 date "2017-07-01" @default.
- W3124805916 modified "2023-09-27" @default.
- W3124805916 title "On the free boundary of an annuity purchase" @default.
- W3124805916 hasPublicationYear "2017" @default.
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