Ruined moments in your life: how good are the approximations?

DOI10.1016/J.INSMATHECO.2004.03.006MaRDI QIDQ977151zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

PensionAnnuityRetirementStochastic present value

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Self-Annuitization and Ruin in Retirement
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Minimizing the probability of lifetime ruin under random consumption
• Sustainable retirement spending: the Czech case

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 2069337 (Why is no real title available?)
• Arbitrage Theory in Continuous Time
• Martingales, scale functions and stochastic life annuities: A note
• Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
• Self-Annuitization and Ruin in Retirement
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The hurdle-race problem.
• The present value of a stochastic perpetuity and the gamma distribution

Cited in

(14)

• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
• Quantile approximations in auto-regressive portfolio models
• Optimal portfolio selection for general provisioning and terminal wealth problems
• Sustainable retirement spending: the Czech case
• The private value of public pensions
• A framework for robust measurement of implied correlation
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Optimal surrender strategies for equity-indexed annuity investors
• Comparing approximations for risk measures of sums of nonindependent lognormal random variables
• Financial valuation of guaranteed minimum withdrawal benefits
• Analytic bounds and approximations for annuities and Asian options
• Self-Annuitization and Ruin in Retirement
• Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement

This page was built for publication: Ruined moments in your life: how good are the approximations?

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q977151)