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A Simple and nearly optimal investment strategy to minimize the probability of lifetime ruin

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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1001 ‎$0‎MAPA20190015189‎$a‎Liang, Xiaoqing
24512‎$a‎A Simple and nearly optimal investment strategy to minimize the probability of lifetime ruin‎$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.
7730 ‎$w‎MAP20077000420‎$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