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q-fin.MF2017★ 1 cited
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…
math.OC2017
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…