Optimal Smooth Consumption and Annuity Design

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Standard

Optimal Smooth Consumption and Annuity Design. / Bruhn, Kenneth; Steffensen, Mogens.

I: Journal of Banking & Finance, Bind 37, Nr. 8, 2013, s. 2693-2701.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Bruhn, K & Steffensen, M 2013, 'Optimal Smooth Consumption and Annuity Design', Journal of Banking & Finance, bind 37, nr. 8, s. 2693-2701. https://doi.org/10.1016/j.jbankfin.2013.03.015

APA

Bruhn, K., & Steffensen, M. (2013). Optimal Smooth Consumption and Annuity Design. Journal of Banking & Finance, 37(8), 2693-2701. https://doi.org/10.1016/j.jbankfin.2013.03.015

Vancouver

Bruhn K, Steffensen M. Optimal Smooth Consumption and Annuity Design. Journal of Banking & Finance. 2013;37(8):2693-2701. https://doi.org/10.1016/j.jbankfin.2013.03.015

Author

Bruhn, Kenneth ; Steffensen, Mogens. / Optimal Smooth Consumption and Annuity Design. I: Journal of Banking & Finance. 2013 ; Bind 37, Nr. 8. s. 2693-2701.

Bibtex

@article{0f4d8d82cbed40f6961c354597e39d0d,
title = "Optimal Smooth Consumption and Annuity Design",
abstract = "We propose an optimization criterion that yields extraordinary consumption smoothing compared to the well known results of the life-cycle model. Under this criterion we solve the related consumption and investment optimization problem faced by individuals with preferences for intertemporal stability in consumption. We find that the consumption and investment patterns demanded under the optimization criterion is in general offered as annuity benefits from products in the class of {\textquoteleft}Formula Based Smoothed Investment-Linked Annuities{\textquoteright}.",
author = "Kenneth Bruhn and Mogens Steffensen",
year = "2013",
doi = "10.1016/j.jbankfin.2013.03.015",
language = "English",
volume = "37",
pages = "2693--2701",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",
number = "8",

}

RIS

TY - JOUR

T1 - Optimal Smooth Consumption and Annuity Design

AU - Bruhn, Kenneth

AU - Steffensen, Mogens

PY - 2013

Y1 - 2013

N2 - We propose an optimization criterion that yields extraordinary consumption smoothing compared to the well known results of the life-cycle model. Under this criterion we solve the related consumption and investment optimization problem faced by individuals with preferences for intertemporal stability in consumption. We find that the consumption and investment patterns demanded under the optimization criterion is in general offered as annuity benefits from products in the class of ‘Formula Based Smoothed Investment-Linked Annuities’.

AB - We propose an optimization criterion that yields extraordinary consumption smoothing compared to the well known results of the life-cycle model. Under this criterion we solve the related consumption and investment optimization problem faced by individuals with preferences for intertemporal stability in consumption. We find that the consumption and investment patterns demanded under the optimization criterion is in general offered as annuity benefits from products in the class of ‘Formula Based Smoothed Investment-Linked Annuities’.

U2 - 10.1016/j.jbankfin.2013.03.015

DO - 10.1016/j.jbankfin.2013.03.015

M3 - Journal article

VL - 37

SP - 2693

EP - 2701

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 8

ER -

ID: 102776744