Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities

DOI10.1080/10920277.2009.10597543zbMath1483.91178OpenAlexW2037778449MaRDI QIDQ5029059

Erhan Bayraktar, Virginia R. Young

Publication date: 11 February 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597543

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial mathematics (91G05)

Related Items (5)

Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin ⋮ Optimal commutable annuities to minimize the probability of lifetime ruin ⋮ Minimizing the probability of lifetime ruin under stochastic volatility ⋮ Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan ⋮ Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings

Cites Work

• Annuitization and asset allocation
• Correspondence between lifetime minimum wealth and utility of consumption
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• The Mathematics of Financial Derivatives
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• 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
• Safety First and the Holding of Assets

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