A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models

DOI10.1080/00207160.2010.500662zbMath1232.91710OpenAlexW2023589820MaRDI QIDQ2995514

Zhuo Jin, G. George Yin

Publication date: 21 April 2011

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2010.500662

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Credit risk (91G40)

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