1 citations · 1 across the 5 of their papers we have counts for
6 papers
Optimal Annuitization with stochastic mortality: Piecewise Deterministic Mortality Force
Matteo Buttarazzi, Tiziano De Angelis, Gabriele Stabile
This paper addresses the problem of determining the optimal time for an individual to convert retirement savings into a lifetime annuity. The individual invests their wealth into a…
On variable annuities with surrender charges
Tiziano De Angelis, Alessandro Milazzo, Gabriele Stabile
In this paper we provide a theoretical analysis of Variable Annuities (VAs) with a focus on the holder's right to an early termination of the contract. Motivated by risk-management…
An analytical study of participating policies with minimum rate guarantee and surrender option
Maria B. Chiarolla, Tiziano De Angelis, Gabriele Stabile
We perform a detailed theoretical study of the value of a class of participating policies with four key features: the policyholder is guaranteed a minimum interest rate on th…
On the free boundary of an annuity purchase
Tiziano De Angelis, Gabriele Stabile
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…
On Lipschitz continuous optimal stopping boundaries
Tiziano De Angelis, Gabriele Stabile
We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stopping boundary of a class of problems with state space , . To…
Optimal Dynamic Procurement Policies for a Storable Commodity with Lévy Prices and Convex Holding Costs
Maria B. Chiarolla, Giorgio Ferrari, Gabriele Stabile
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty.…