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

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

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