3 papers
q-fin.MF2026
Optimal Annuitization Time under a Mortality Shock
Matteo Buttarazzi
In this paper, we derive explicit closed-form solutions for the value function and the associated optimal stopping boundaries in an optimal annuitization problem under a mortality…
q-fin.MF2026
Filtering in a hazard rate change-point model with financial and life-insurance applications
Matteo Buttarazzi, Claudia Ceci
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial an…
q-fin.MF2025
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…