Asset allocation and annuity-purchase strategies to minimize the probability of financial ruin

Mathematical Finance

Volumn 16, Issue 4, 2006, Pages 647-671

  Milevsky, Moshe A ^a   Moore, Kristen S ^b   Young, Virginia R ^b  

^a YORK UNIVERSITY   (Canada)

^b UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Barrier policies; Dynamic programming; Free boundary problem; Insurance; Life annuities; Optimal investment; Retirement; Shortfall risk; Stochastic optimal control; Variational inequality

Indexed keywords

EID: 33748333123     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00288.x     Document Type: Article

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