Asset allocation and the liquidity premium for illiquid annuities

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<title>Asset allocation and the liquidity premium for illiquid annuities</title>
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<title>The Journal of risk and insurance</title>
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<namePart>Browne, S.</namePart>
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<namePart>Milevsky, M. A.</namePart>
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<namePart>Salisbury, T. S.</namePart>
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<abstract>This article develops a model for analizing the ex ante liquidity  premium demanded by the holder of an illiquid annuity.</abstract>
<note type="statement of responsibility">S. Browne, M. A. Milevsky and T. S. Salisbury</note>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080573614">
<topic>Renta vitalicia</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080547967">
<topic>Liquidez</topic>
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<topic>Primas</topic>
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<topic>Planes de pensiones</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<topic>Modelos matemáticos</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Orlando</publisher>
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<identifier type="local">MAP20077000727</identifier>
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<text>Volume 70, number 3, September 2003 ;  p. 509-526</text>
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