Ruined moments in your life: how good are the approximations?
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Publication:977151
DOI10.1016/j.insmatheco.2004.03.006zbMath1188.91233OpenAlexW3124848992MaRDI QIDQ977151
J. Wang, Hua-xiong Huang, Moshe Arye Milevsky
Publication date: 20 June 2010
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.03.006
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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- The concept of comonotonicity in actuarial science and finance: applications.
- The hurdle-race problem.
- Arbitrage Theory in Continuous Time
- Self-Annuitization and Ruin in Retirement
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