Optimal commutable annuities to minimize the probability of lifetime ruin

DOI10.1016/j.insmatheco.2011.10.012zbMath1243.91066arXiv1001.4270MaRDI QIDQ2427826

Virginia R. Young, Ting Wang

Publication date: 18 April 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.4270

zbMATH Keywords

stochastic control; free-boundary problem; optimal investment; retirement; life annuities

Mathematics Subject Classification ID

93E20: Optimal stochastic control

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Cites Work

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