Minimizing the probability of lifetime ruin with deferred life annuities

DOI10.1080/10920277.2009.10597543zbMATH Open1483.91178OpenAlexW2037778449MaRDI QIDQ5029059FDOQ5029059

Authors: Erhan Bayraktar, Virginia R. Young 

Publication date: 11 February 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597543

Recommendations

• Optimal commutable annuities to minimize the probability of lifetime ruin
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin
• Self-Annuitization and Ruin in Retirement

Mathematics Subject Classification ID

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

Cites Work

• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Annuitization and asset allocation
• The Mathematics of Financial Derivatives
• Safety First and the Holding of Assets
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Self-Annuitization and Ruin in Retirement
• Correspondence between lifetime minimum wealth and utility of consumption
• 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

Cited In (8)

• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Optimal commutable annuities to minimize the probability of lifetime ruin
• Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin
• Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan
• Self-Annuitization and Ruin in Retirement
• Minimizing the probability of lifetime ruin under stochastic volatility
• Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings
• Long guarantees with short duration: the rolling annuity

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