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Glide paths for a retirement plan with deferred annuities

Jang, C., Clare, A. ORCID: 0000-0002-4180-6778 and Owadally, I. ORCID: 0000-0002-0830-3554 (2021). Glide paths for a retirement plan with deferred annuities. Journal of Pension Economics and Finance, doi: 10.1017/S1474747221000251


We construct investment glide paths for a retirement plan using both traditional asset classes and deferred annuities. The glide paths are approximated by averaging the asset proportions of stochastic optimal investment solutions. The objective function consists of power utility in terms of secured retirement income from purchased deferred annuities, as well as a bequest that can be withdrawn before retirement. Compared with conventional glide paths and investment strategies, our deferred annuity-enhanced glide paths provide the investor with higher welfare gains, more efficient investment portfolios, and more responsive retirement income patterns and bequest levels to different fee structures and personal preferences.

Publication Type: Article
Additional Information: This article is published in a revised form in Journal of Pension Economics and Finance This version is available under a Creative Commons CC-BY-NC-ND. No commercial re-distribution or re-use allowed. Derivative works cannot be distributed. Copyright © The Author(s), 2021.
Publisher Keywords: Retirement planning, deferred annuity, glide path strategy, multi-stage stochastic programming.
Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
H Social Sciences > HG Finance
Departments: Bayes Business School > Actuarial Science & Insurance
Bayes Business School > Finance
Date available in CRO: 28 Apr 2021 10:40
Date deposited: 28 April 2021
Date of acceptance: 25 April 2021
Date of first online publication: 31 August 2021
Text - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

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