Lifetime ruin under ambiguous hazard rate

DOI10.1016/J.INSMATHECO.2016.06.007zbMATH Open1371.91172OpenAlexW2464178606MaRDI QIDQ2520439FDOQ2520439

Virginia R. Young, Yuchong Zhang

Publication date: 13 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.06.007

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zbMATH Keywords

optimal controlstochastic controlambiguity aversionprobability of lifetime ruinhazard rate uncertainty

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Title not available (Why is that?)
• User’s guide to viscosity solutions of second order partial differential equations
• An introduction to nonlinear boundary value problems
• L'Hospital's Rule
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Modelling and management of mortality risk: a review
• Self-Annuitization and Ruin in Retirement
• Optimally investing to reach a bequest goal
• Minimizing the probability of lifetime ruin under ambiguity aversion
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time

Cited In (7)

• Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
• Lifetime ruin under high-water mark fees and drift uncertainty
• A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN
• Purchasing casualty insurance to avoid lifetime ruin
• Time-consistent lifetime portfolio selection under smooth ambiguity
• Life-Cycle Planning with Ambiguous Economics and Mortality Risks
• REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE

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