Centro de Documentación de Fundación MAPFRE - A Simple and nearly optimal investment strategy to minimize the probability of lifetime ruin

Notes: Sumario: We 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.

Related records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 09/05/2022 Volumen 52 Número 2 - mayo 2022 , p. 619-643Materia / lugar / evento: Análisis de riesgos Mortalidad Inversiones Probabilidad de ruina Otros autores: Young, Virginia R.
Other categories: 6

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