Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin

DOI10.1080/10920277.2004.10596174zbMath1085.60514OpenAlexW756180390MaRDI QIDQ5716000

Virginia R. Young

Publication date: 6 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596174

Mathematics Subject Classification ID

Related Items (49)

Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer ⋮ A pair of optimal reinsurance-investment strategies in the two-sided exit framework ⋮ Minimizing lifetime poverty with a penalty for bankruptcy ⋮ Minimizing the probability of lifetime drawdown under constant consumption ⋮ Alpha-robust mean-variance reinsurance-investment strategy ⋮ Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure ⋮ A note on the convexity of ruin probabilities ⋮ Target-Bequest Investment and Insurance Fund ⋮ Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints ⋮ Optimal investment and consumption for an insurer with high-watermark performance fee ⋮ Minimizing the lifetime ruin under borrowing and short-selling constraints ⋮ Purchasing casualty insurance to avoid lifetime ruin ⋮ Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin ⋮ Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase ⋮ On minimizing drawdown risks of lifetime investments ⋮ Optimal commutable annuities to minimize the probability of lifetime ruin ⋮ Minimizing the probability of lifetime ruin under stochastic volatility ⋮ Proportional reinsurance and investment in multiple risky assets under borrowing constraint ⋮ Minimizing the Probability of Lifetime Ruin When Shocks Might Occur: Perturbation Analysis ⋮ Proving regularity of the minimal probability of ruin via a game of stopping and control ⋮ Lifetime ruin under high-water mark fees and drift uncertainty ⋮ Correspondence between lifetime minimum wealth and utility of consumption ⋮ Risk sensitive control of the lifetime ruin problem ⋮ Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings ⋮ Robust optimal reinsurance and investment strategies for an AAI with multiple risks ⋮ Modeling future lifetime as a fuzzy random variable ⋮ Maximizing survival, growth and goal reaching under borrowing constraints ⋮ Wealth investment strategies for insurance companies and the probability of ruin ⋮ Robust portfolio selection for individuals: minimizing the probability of lifetime ruin ⋮ Minimizing the probability of lifetime ruin under borrowing constraints ⋮ Minimizing the probability of ruin: optimal per-loss reinsurance ⋮ Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming ⋮ Optimally investing to reach a bequest goal ⋮ Lifetime ruin under ambiguous hazard rate ⋮ REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE ⋮ Minimizing the probability of lifetime exponential Parisian ruin ⋮ MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS ⋮ Minimizing the lifetime shortfall or shortfall at death ⋮ Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs ⋮ Robust optimal investment and reinsurance of an insurer under jump-diffusion models ⋮ ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN ⋮ The Management of Decumulation Risks in a Defined Contribution Pension Plan ⋮ Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement ⋮ A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN ⋮ Ruin Minimization for Insurers with Borrowing Constraints ⋮ Efficient Post-Retirement Asset Allocation ⋮ Minimizing the Probability of Lifetime Ruin under Random Consumption ⋮ Minimizing the Probability of Ruin When Consumption is Ratcheted ⋮ Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities

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