ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN

DOI10.1111/J.1467-9965.2006.00288.XzbMath1130.91031OpenAlexW1892895908MaRDI QIDQ3423400

Virginia R. Young, Kristen S. Moore, Moshe Arye Milevsky

Publication date: 22 February 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00288.x

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35)

Related Items (31)

On the sub-optimality cost of immediate annuitization in DC pension funds ⋮ Life-cycle asset allocation with annuity markets ⋮ Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin ⋮ Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase ⋮ Optimal commutable annuities to minimize the probability of lifetime ruin ⋮ Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks ⋮ Minimizing the probability of lifetime ruin under stochastic volatility ⋮ Optimal investment-consumption problem: post-retirement with minimum guarantee ⋮ Maximizing the utility of consumption with commutable life annuities ⋮ A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models ⋮ Proving regularity of the minimal probability of ruin via a game of stopping and control ⋮ Optimal consumption and portfolio choice for pooled annuity funds ⋮ Following the rules: integrating asset allocation and annuitization in retirement portfolios ⋮ Correspondence between lifetime minimum wealth and utility of consumption ⋮ Annuitization and asset allocation under exponential utility ⋮ Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality ⋮ Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings ⋮ Optimal investment strategy to minimize occupation time ⋮ Minimizing the probability of lifetime ruin under borrowing constraints ⋮ Purchasing life insurance to reach a bequest goal ⋮ Income drawdown option with minimum guarantee ⋮ Optimal surrender strategies for equity-indexed annuity investors ⋮ Optimal allocation to deferred income annuities ⋮ MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS ⋮ Relative Choice Models for Income Drawdown in a Defined Contribution Pension Scheme ⋮ The Management of Decumulation Risks in a Defined Contribution Pension Plan ⋮ Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement ⋮ Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty ⋮ Minimizing the Probability of Lifetime Ruin under Random Consumption ⋮ Choosing the optimal annuitization time post-retirement ⋮ Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities

Cites Work

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