Optimal retirement planning with a focus on single and joint life annuities
研究一对夫妇在不确定寿命下如何优化资产配置、消费和遗赠决策，发现即使有高退保费用，家庭也应投资多种不同期限和风险的生命相关产品。
We optimize the asset allocation, consumption and bequest decisions of a couple with an uncertain lifetime. The asset menu consists of zero coupon bonds and pure endowments with different maturities, whole life annuities and stocks. The pure endowments pay either fixed or variable benefits, and, similarly to the whole life annuities, are contingent on either a single or a joint lifetime. We model the stock returns and the parameters for the term structure with a vector autoregressive model, thus considering time-varying investment opportunities. To find the optimal solution we use a multi-stage stochastic programming approach, which allows for including complex surrender charges on pure endowments and annuities, as well as transaction costs on stocks and bonds. Our findings indicate that despite high surrender charges, households should invest in a wide combination of life contingent products with different maturities and underlying financial risk.