Minimizing the probability of lifetime ruin with deferred life annuities

DOI10.1080/10920277.2009.10597543MaRDI QIDQ5029059zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• Annuitization and asset allocation
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• 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 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
• Safety First and the Holding of Assets
• Self-Annuitization and Ruin in Retirement
• The Mathematics of Financial Derivatives

Cited in

(10)

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

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