Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin

DOI10.1016/J.INSMATHECO.2023.06.003MaRDI QIDQ6072267zbMATH OpenFDO

Authors Xiaoqing Liang, Virginia R. Young

Publication date 12 October 2023

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2023.06.003

zbMATH Keywords

absolutely continuous annuitization rateage-dependent force of mortalitybarrier strategyoptimal annuitizationprobability of lifetime ruin

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• Annuitization and asset allocation
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Life-cycle asset allocation with annuity markets
• Maximizing the utility of consumption with commutable life annuities
• Minimizing the probability of lifetime exponential Parisian ruin
• Minimizing the probability of lifetime ruin under ambiguity aversion
• Minimizing the probability of lifetime ruin under borrowing constraints
• Minimizing the probability of lifetime ruin under stochastic volatility
• Minimizing the probability of lifetime ruin with deferred life annuities
• Minimizing the probability of lifetime ruin: two riskless assets with transaction costs
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
• Optimally investing to reach a bequest goal
• Purchasing term life insurance to reach a bequest goal while consuming
• Self-Annuitization and Ruin in Retirement
• Stochastic Perron's method for the probability of lifetime ruin problem under transaction costs

Cited in

(3)

• A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
• Optimal annuitization and asset allocation with fixed transaction costs
• Time-consistent annuitization and asset allocation under the mean-variance criterion

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