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Volumn 34, Issue 3, 2004, Pages 421-447

Ruined moments in your life: How good are the approximations?

Author keywords

Annuity; Pension; Retirement; Stochastic present value

Indexed keywords


EID: 2642512971     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2004.03.006     Document Type: Article
Times cited : (22)

References (18)
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    • Albrecht, P.1    Maurer, R.2
  • 3
    • 0141760391 scopus 로고    scopus 로고
    • PensionsMetrics 2: Stochastic pension plan design during the distribution phase
    • Blake D. Cairns A.J.G. Dowd K. 2003 PensionsMetrics 2: stochastic pension plan design during the distribution phase. Insurance: Mathematics and Economics 33 29-47
    • (2003) Insurance: Mathematics and Economics , vol.33 , pp. 29-47
    • Blake, D.1    Cairns, A.J.G.2    Dowd, K.3
  • 6
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    • Betting on death and capital markets in retirement: A shortfall risk analysis of life annuities versus phased withdrawals
    • Working Paper, The Wharton School
    • Dus I. Mitchell O. Maurer R. 2003 Betting on death and capital markets in retirement: a shortfall risk analysis of life annuities versus phased withdrawals, Working Paper, The Wharton School.
    • (2003)
    • Dus, I.1    Mitchell, O.2    Maurer, R.3
  • 9
    • 33645125808 scopus 로고    scopus 로고
    • Stocks, Bonds Bills and Inflation: 1926-2001
    • Ibbotson Associates, Chicago, IL
    • Ibbotson Associates, 2002. Stocks, Bonds Bills and Inflation: 1926-2001, Chicago, IL.
    • (2002)
  • 10
    • 0004171561 scopus 로고
    • Stochastic Calculus and Brownian Motion
    • Springer-Verlag
    • Karatzas I. Shreve S. 1992 Stochastic Calculus and Brownian Motion. Springer-Verlag.
    • (1992)
    • Karatzas, I.1    Shreve, S.2
  • 12
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    • The present value of a stochastic perpetuity and the gamma distribution
    • Milevsky M.A. 1997 The present value of a stochastic perpetuity and the gamma distribution. Insurance: Mathematics and Economics 20, 243-250.
    • (1997) Insurance: Mathematics and Economics , vol.20 , pp. 243-250
    • Milevsky, M.A.1
  • 13
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    • Optimal asset allocation towards the end of the life cycle: To annuitize or not to annuitize?
    • Milevsky M.A. Optimal asset allocation towards the end of the life cycle: to annuitize or not to annuitize? Journal of Risk and Insurance 65 3 1998 401-426
    • (1998) Journal of Risk and Insurance , vol.65 , Issue.3 , pp. 401-426
    • Milevsky, M.A.1
  • 14
    • 0010653671 scopus 로고    scopus 로고
    • Martingales, scale functions and stochastic life annuities: A note
    • Milevsky M.A. Martingales, scale functions and stochastic life annuities: a note Insurance: Mathematics and Economics 24 1-2 1999 149-154
    • (1999) Insurance: Mathematics and Economics , vol.24 , Issue.1-2 , pp. 149-154
    • Milevsky, M.A.1
  • 16
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    • Ruin in retirement: Running out of money in drawdown programs
    • Technical Report No. RU06. Watson Wyatt Worldwide
    • Orszag M. 2002 Ruin in retirement: running out of money in drawdown programs. Technical Report No. RU06. Watson Wyatt Worldwide.
    • (2002)
    • Orszag, M.1
  • 18
    • 84887526035 scopus 로고    scopus 로고
    • Optimal investment strategy to minimize the probability of lifetime ruin
    • Working paper, Department of Mathematics, University of Michigan
    • Young V.R. 2003 Optimal investment strategy to minimize the probability of lifetime ruin. Working paper, Department of Mathematics, University of Michigan.
    • (2003)
    • Young, V.R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.