Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement

DOI10.1080/10920277.2006.10597418MaRDI QIDQ5018740zbMATH OpenOpenAlexFDO

Authors Kristen S. Moore, Virginia R. Young

Publication date 22 December 2021

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2006.10597418

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

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• A variational inequality approach to financial valuation of retirement benefits based on salary
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• Correspondence between lifetime minimum wealth and utility of consumption
• Minimizing the probability of lifetime ruin under borrowing constraints
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Optimal insurance in a continuous-time model
• Optimal investment choices post-retirement in a defined contribution pension scheme
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• Ruined moments in your life: how good are the approximations?
• Safety First and the Holding of Assets
• Self-Annuitization and Ruin in Retirement
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• The relaxed investor and parameter uncertainty

Cited in

(18)

• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Optimal retirement savings over the life cycle: a deterministic analysis in closed form
• Maximizing the utility of consumption with commutable life annuities
• Target-bequest investment and insurance fund
• Determining the optimum guarantee period for a one-life retirement annuity
• Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
• A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin
• Sustainable retirement spending: the Czech case
• Minimizing lifetime poverty with a penalty for bankruptcy
• Minimizing the probability of lifetime drawdown under constant consumption
• Minimizing the probability of lifetime ruin under stochastic volatility
• IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH
• On minimizing drawdown risks of lifetime investments
• REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
• Minimizing the probability of lifetime exponential Parisian ruin
• Minimizing the probability of lifetime ruin under random consumption
• Minimizing the probability of ruin when consumption is ratcheted
• Minimizing the probability of lifetime ruin with deferred life annuities

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