2007/03/29 by Bayraktar, Erhan, Young, Virginia R.
#FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Risk Management (q-fin.RM)
paper · doi:10.48550/arxiv.math/0703862
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.