Title: Comonotonic approximations for the probability of a lifetime ruin
Authors: Van Weert, Koen ×
Dhaene, Jan
Goovaerts, Marc #
Issue Date: 2012
Series Title: Journal of Pension Economics and Finance vol:11 issue:2 pages:285-309
Abstract: 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.
ISSN: 1474-7472
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

Files in This Item:
File Description Status SizeFormat
ComonotonicApproximations.pdf Published 594KbAdobe PDFView/Open Request a copy

These files are only available to some KU Leuven Association staff members


All items in Lirias are protected by copyright, with all rights reserved.

© Web of science