A Simple and nearly optimal investment strategy to minimize the probability of lifetime ruin
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|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20220015110 | ||
| 003 | MAP | ||
| 005 | 20220520095638.0 | ||
| 008 | 220519e20220509esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20190015189$aLiang, Xiaoqing | |
| 245 | 1 | 2 | $aA Simple and nearly optimal investment strategy to minimize the probability of lifetime ruin$cXiaoqing Liang, Virginia R. Young |
| 520 | $aWe study the optimal investment strategy to minimize the probability of lifetime ruin under a general mortality hazard rate. We explore the error between the minimum probability of lifetime ruin and the achieved probability of lifetime ruin if one follows a simple investment strategy inspired by earlier work in this area. We also include numerical examples to illustrate the estimation. We show that the nearly optimal probability of lifetime ruin under the simplified investment strategy is quite close to the original minimum probability of lifetime ruin under reasonable parameter values. | ||
| 650 | 4 | $0MAPA20080588953$aAnálisis de riesgos | |
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20080558970$aInversiones | |
| 650 | 4 | $0MAPA20080603069$aProbabilidad de ruina | |
| 700 | $0MAPA20100039786$aYoung, Virginia R. | ||
| 773 | 0 | $wMAP20077000420$g09/05/2022 Volumen 52 Número 2 - mayo 2022 , p. 619-643$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |