Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin

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We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process to be increasing adapted processes, we find that the individual will not buy a deferred life annuity unless she can cover all her consumption via the annuity and have enough wealth left over to sustain her until the end of the deferral period.
Key Words: Life annuities, retirement, optimal investment, stochastic control, free boundary problem

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Optimization and Control, Probability, Risk Management

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http://salesiana.dossiersoluciones.com/handle/123456789/210208

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0703862
 http://arxiv.org/abs/math/0703862

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arXiv