Lifetime ruin under ambiguous hazard rate

DOI10.1016/J.INSMATHECO.2016.06.007MaRDI QIDQ2520439zbMATH OpenOpenAlexFDO

Authors 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

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)

Recommendations

• Minimizing the probability of lifetime ruin under ambiguity aversion
• Robust portfolio selection for individuals: minimizing the probability of lifetime ruin
• REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin

Cites work

• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• An introduction to nonlinear boundary value problems
• L'Hospital's Rule
• Minimizing the probability of lifetime ruin under ambiguity aversion
• Modeling and management of mortality risk: a review
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Optimally investing to reach a bequest goal
• Self-Annuitization and Ruin in Retirement
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(10)

• Lifetime ruin under high-water mark fees and drift uncertainty
• The annuity puzzle and consumption hump under ambiguous life expectancy
• REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
• A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin
• Life-cycle planning with ambiguous economics and mortality risks
• Minimizing the probability of lifetime ruin under ambiguity aversion
• Robust portfolio selection for individuals: minimizing the probability of lifetime ruin
• Purchasing casualty insurance to avoid lifetime ruin
• Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
• Time-consistent lifetime portfolio selection under smooth ambiguity

This page was built for publication: Lifetime ruin under ambiguous hazard rate

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2520439)