Comonotonic approximations for the probability of lifetime ruin
| Autor: | Jan Dhaene, Marc Goovaerts, Koen Van Weert |
|---|---|
| Přispěvatelé: | Actuarial Science & Mathematical Finance (ASE, FEB) |
| Rok vydání: | 2011 |
| Předmět: |
Organizational Behavior and Human Resource Management
Economics and Econometrics Mathematical optimization Actuarial science Strategy and Management Mechanical Engineering Comonotonicity Metals and Alloys Ruin theory Industrial and Manufacturing Engineering Order (exchange) Economics Portfolio Finance Selection (genetic algorithm) |
| Zdroj: | Journal of Pension Economics and Finance, 11(2), 285-309. Cambridge University Press |
| ISSN: | 1475-3022 1474-7472 |
| Popis: | This paper addresses the issue of lifetime ruin, which is defined as running out of money before death. Taking into account the random nature of the remaining lifetime, we discuss how a retiree should invest in order to avoid lifetime ruin. We also discuss the conditional time of lifetime ruin and the notion of bequest or wealth at death.Using analytical approximations based on comonotonicity, we provide a new approach which is easy to understand and leads to very accurate results without computationally complex calculations. Our analytical approach avoids simulation, which allows to solve very general optimal portfolio selection problems. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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