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Optimal Investment in Deferred Income Annuities

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dc.contributor.advisorHuang, Huaxiong
dc.creatorMauskopf, Adam Emanuel
dc.date.accessioned2018-11-21T13:42:36Z
dc.date.available2018-11-21T13:42:36Z
dc.date.copyright2018-04-20
dc.date.issued2018-11-21
dc.date.updated2018-11-21T13:42:36Z
dc.degree.disciplineApplied and Industrial Mathematics
dc.degree.levelMaster's
dc.degree.nameMSc - Master of Science
dc.description.abstractIn this thesis we develop and analyze a technique for finding the optimal investment strategy for a deferred income annuity (DIA). We first present some initial background needed to understand what a DIA is. We then lay out a mathematical framework which will allow us to formalize the optimization process. The method and implementation of the optimization is explained, and the results are then analyzed. We then add an extra layer of complication to our model by allowing our optimal portfolio to contain more types of assets. The results of this new model are analyzed, and finally we mention possible extensions to this work.
dc.identifier.urihttp://hdl.handle.net/10315/35491
dc.language.isoen
dc.rightsAuthor owns copyright, except where explicitly noted. Please contact the author directly with licensing requests.
dc.subjectFinance
dc.subject.keywordsAnnuity
dc.subject.keywordsAnnuities
dc.subject.keywordsDeferred
dc.subject.keywordsFinancial
dc.subject.keywordsMathematics
dc.subject.keywordsDIA
dc.subject.keywordsSPIA
dc.subject.keywordsOptimal
dc.subject.keywordsInvestment
dc.subject.keywordsStrategy
dc.subject.keywordsMerton
dc.subject.keywordsPortfolio
dc.subject.keywordsHamilton
dc.subject.keywordsJacobi
dc.subject.keywordsBellman
dc.subject.keywordsEquation
dc.titleOptimal Investment in Deferred Income Annuities
dc.typeElectronic Thesis or Dissertation

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