Minimizing the Probability of Lifetime Ruin under Random Consumption

DOI10.1080/10920277.2008.10597531zbMath1481.91192MaRDI QIDQ5022552

Kristen S. Moore, Virginia R. Young, Erhan Bayraktar

Publication date: 19 January 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597531

Mathematics Subject Classification ID

91G10: Portfolio theory

Related Items

Minimizing the Probability of Lifetime Ruin When Shocks Might Occur: Perturbation Analysis, Optimal active lifetime investment, Minimizing the probability of lifetime ruin under stochastic volatility, Optimal commutable annuities to minimize the probability of lifetime ruin

Cites Work

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• Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Numerical Methods for Stochastic Control Problems in Continuous Time