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

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

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

Cites work

• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Annuitization and asset allocation
• Correspondence between lifetime minimum wealth and utility of consumption
• 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 and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
• Safety First and the Holding of Assets
• Self-Annuitization and Ruin in Retirement
• The Mathematics of Financial Derivatives

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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