A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN

DOI10.1017/ASB.2022.3zbMath1492.91305OpenAlexW4212913602MaRDI QIDQ5866181

Xiaoqing Liang, Virginia R. Young

Publication date: 13 June 2022

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2022.3

zbMATH Keywords

stochastic controlcomparison resultsoptimal investmentprobability of lifetime ruin

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Cites Work

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• Proving regularity of the minimal probability of ruin via a game of stopping and control
• Minimizing the probability of lifetime ruin under stochastic volatility
• Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?
• Minimizing the probability of lifetime ruin under borrowing constraints
• Lifetime ruin under ambiguous hazard rate
• Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
• Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs
• The plateau of human mortality: Demography of longevity pioneers
• MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS
• 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
• Self-Annuitization and Ruin in Retirement

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