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

DOI10.1111/j.1467-9965.2006.00288.xzbMath1130.91031MaRDI 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

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

60H30: Applications of stochastic analysis (to PDEs, etc.)

35R60: PDEs with randomness, stochastic partial differential equations

35R35: Free boundary problems for PDEs

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