Ruined moments in your life: how good are the approximations?
DOI10.1016/J.INSMATHECO.2004.03.006zbMATH Open1188.91233OpenAlexW3124848992MaRDI QIDQ977151FDOQ977151
Authors: J. Wang, Huaxiong Huang, Moshe Arye Milevsky 
Publication date: 20 June 2010
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.03.006
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Cites Work
- Arbitrage Theory in Continuous Time
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- The concept of comonotonicity in actuarial science and finance: theory.
- Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
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- Self-Annuitization and Ruin in Retirement
- The concept of comonotonicity in actuarial science and finance: applications.
- The present value of a stochastic perpetuity and the gamma distribution
- The hurdle-race problem.
- Martingales, scale functions and stochastic life annuities: A note
Cited In (14)
- Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
- ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
- Analytic bounds and approximations for annuities and Asian options
- Optimal approximations for risk measures of sums of lognormals based on conditional expectations
- Self-Annuitization and Ruin in Retirement
- Optimal surrender strategies for equity-indexed annuity investors
- Financial valuation of guaranteed minimum withdrawal benefits
- Quantile approximations in auto-regressive portfolio models
- Sustainable retirement spending: the Czech case
- Optimal portfolio selection for general provisioning and terminal wealth problems
- The private value of public pensions
- Comparing approximations for risk measures of sums of nonindependent lognormal random variables
- A framework for robust measurement of implied correlation
- Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
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