26 citations · 73 across the 29 of their papers we have counts for
6 papers · 1 filter
Bifurcation in optimal retirement
Bushra Shehnam Ashraf, Thomas S. Salisbury
We study optimal consumption and retirement using a Cobb-Douglas utility and a simple model in which an interesting bifurcation arises. With high wealth, individuals plan to retire…
A greedy algorithm for habit formation under multiplicative utility
Snezhana Kirusheva, Thomas S. Salisbury
We consider the problem of optimizing lifetime consumption under a habit formation model, both with and without an exogenous pension. Unlike much of the existing literature, we app…
Retirement spending problem under Habit Formation Model
S. Kirusheva, H. Huang, T. S. Salisbury
In this paper we consider the problem of optimizing lifetime consumption under a habit formation model. Our work differs from previous results, because we incorporate mortality and…
Optimal allocation to deferred income annuities
F. Habib, H. Huang, A. Mauskopf +2
In this paper we employ a lifecycle model that uses utility of consumption and bequest to determine an optimal Deferred Income Annuity (DIA) purchase policy. We lay out a mathemati…
Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693
Moshe A. Milevsky, Thomas S. Salisbury
Historical tontines promised enormous rewards to the last survivors at the expense of those who died early. While this design appealed to the gambling instinct, it is a suboptimal…
Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
H. Huang, M. A. Milevsky, T. S. Salisbury
This paper offers a financial economic perspective on the optimal time (and age) at which the owner of a Variable Annuity (VA) policy with a Guaranteed Living Withdrawal Benefit (G…