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Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin

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Cited by:

  1. Moshe A. Milevsky & Kristen S. Moore & Virginia R. Young, 2006. "Asset Allocation And Annuity‐Purchase Strategies To Minimize The Probability Of Financial Ruin," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 647-671, October.
  2. Landriault, David & Li, Bin & Loke, Sooie-Hoe & Willmot, Gordon E. & Xu, Di, 2017. "A note on the convexity of ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 1-6.
  3. Bayraktar, Erhan & Young, Virginia R., 2007. "Minimizing the probability of lifetime ruin under borrowing constraints," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 196-221, July.
  4. H. Huang & M. A. Milevsky & T. S. Salisbury, 2014. "Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA)," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(2), pages 367-395, June.
  5. Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Optimal Investment to Minimize the Probability of Drawdown," Papers 1506.00166, arXiv.org, revised Feb 2016.
  6. Young, Virginia R., 2017. "Purchasing casualty insurance to avoid lifetime ruin," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 133-142.
  7. Shapiro, Arnold F., 2013. "Modeling future lifetime as a fuzzy random variable," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 864-870.
  8. Erhan Bayraktar & Yuchong Zhang, 2014. "Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs," Papers 1404.7406, arXiv.org, revised Nov 2014.
  9. Erhan Bayraktar & Yuchong Zhang, 2014. "Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion," Papers 1402.1809, arXiv.org, revised Nov 2014.
  10. Erhan Bayraktar & Virginia Young, 2008. "Minimizing the Probability of Ruin When Consumption is Ratcheted," North American Actuarial Journal, Taylor & Francis Journals, vol. 12(4), pages 428-442.
  11. Liang, Xiaoqing & Young, Virginia R., 2023. "Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 80-96.
  12. Erhan Bayraktar & Virginia Young, 2007. "Correspondence between lifetime minimum wealth and utility of consumption," Finance and Stochastics, Springer, vol. 11(2), pages 213-236, April.
  13. Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2016. "Minimizing the probability of lifetime drawdown under constant consumption," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 210-223.
  14. Wang, Ting & Young, Virginia R., 2012. "Optimal commutable annuities to minimize the probability of lifetime ruin," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 200-216.
  15. Haluk Yener, 2015. "Maximizing survival, growth and goal reaching under borrowing constraints," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 2053-2065, December.
  16. Cohen, Asaf & Young, Virginia R., 2016. "Minimizing lifetime poverty with a penalty for bankruptcy," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 156-167.
  17. Bayraktar, Erhan & Young, Virginia R., 2008. "Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin," Finance Research Letters, Elsevier, vol. 5(4), pages 204-212, December.
  18. Erhan Bayraktar & Asaf Cohen, 2015. "Risk Sensitive Control of the Lifetime Ruin Problem," Papers 1503.05769, arXiv.org, revised Jul 2016.
  19. Erhan Bayraktar & Virginia Young, 2011. "Proving regularity of the minimal probability of ruin via a game of stopping and control," Finance and Stochastics, Springer, vol. 15(4), pages 785-818, December.
  20. Bayraktar, Erhan & Young, Virginia R., 2009. "Minimizing the lifetime shortfall or shortfall at death," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 447-458, June.
  21. Bayraktar, Erhan & Young, Virginia R., 2016. "Optimally investing to reach a bequest goal," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 1-10.
  22. Wang, Ning & Zhang, Nan & Jin, Zhuo & Qian, Linyi, 2021. "Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 168-184.
  23. Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015. "Minimizing the expected lifetime spent in drawdown under proportional consumption," Finance Research Letters, Elsevier, vol. 15(C), pages 106-114.
  24. Junbeom Lee & Xiang Yu & Chao Zhou, 2019. "Lifetime Ruin under High-watermark Fees and Drift Uncertainty," Papers 1909.01121, arXiv.org, revised Oct 2020.
  25. Guan, Guohui & Liang, Zongxia, 2019. "Robust optimal reinsurance and investment strategies for an AAI with multiple risks," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 63-78.
  26. Chen, Xinfu & Landriault, David & Li, Bin & Li, Dongchen, 2015. "On minimizing drawdown risks of lifetime investments," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 46-54.
  27. Liang, Xiaoqing & Young, Virginia R., 2018. "Minimizing the probability of ruin: Optimal per-loss reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 181-190.
  28. Christopher J. Rook, 2015. "Optimal Equity Glidepaths in Retirement," Papers 1506.08400, arXiv.org.
  29. Yuchen Li & Zongxia Liang & Shunzhi Pang, 2022. "Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model," Papers 2211.12168, arXiv.org, revised May 2024.
  30. Bayraktar, Erhan & Hu, Xueying & Young, Virginia R., 2011. "Minimizing the probability of lifetime ruin under stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 194-206, September.
  31. Young, Virginia R. & Zhang, Yuchong, 2016. "Lifetime ruin under ambiguous hazard rate," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 125-134.
  32. Erhan Bayraktar & Virginia R. Young, 2007. "Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin," Papers math/0703862, arXiv.org, revised Oct 2007.
  33. Bayraktar, Erhan & Young, Virginia R., 2008. "Mutual fund theorems when minimizing the probability of lifetime ruin," Finance Research Letters, Elsevier, vol. 5(2), pages 69-78, June.
  34. Li, Bin & Li, Danping & Xiong, Dewen, 2016. "Alpha-robust mean-variance reinsurance-investment strategy," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 101-123.
  35. Erhan Bayraktar & David Promislow & Virginia Young, 2014. "Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming," Papers 1412.2262, arXiv.org, revised Feb 2016.
  36. Xiaoqing Liang & Virginia R. Young, 2020. "Minimizing the Probability of Lifetime Exponential Parisian Ruin," Journal of Optimization Theory and Applications, Springer, vol. 184(3), pages 1036-1064, March.
  37. Asaf Cohen & Virginia R. Young, 2015. "Minimizing Lifetime Poverty with a Penalty for Bankruptcy," Papers 1509.01694, arXiv.org.
  38. Fangyuan Dong & Nick Halen & Kristen Moore & Qinglai Zeng, 2019. "Efficient Retirement Portfolios: Using Life Insurance to Meet Income and Bequest Goals in Retirement," Risks, MDPI, vol. 7(1), pages 1-11, January.
  39. Landriault, David & Li, Bin & Li, Danping & Li, Dongchen, 2016. "A pair of optimal reinsurance–investment strategies in the two-sided exit framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 284-294.
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