一个简单的和近乎最佳的投资策略，以尽量减少终身破产的可能性

IF 1.8 3区经济学 Q2 ECONOMICS

ASTIN Bulletin Pub Date : 2022-02-16 DOI:10.1017/asb.2022.3

Xiaoqing Liang, V. Young

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引用次数: 1

摘要

摘要研究在一般死亡风险率下，以最小化终身破产概率为目标的最优投资策略。如果一个人遵循一种简单的投资策略，我们将探讨终身破产的最小概率与终身破产的实现概率之间的误差，这种投资策略受到该领域早期工作的启发。我们还包括数值例子来说明估计。结果表明，简化投资策略下的近最优终身破产概率与初始最小终身破产概率在合理参数值下相当接近。

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A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN

Abstract We study the optimal investment strategy to minimize the probability of lifetime ruin under a general mortality hazard rate. We explore the error between the minimum probability of lifetime ruin and the achieved probability of lifetime ruin if one follows a simple investment strategy inspired by earlier work in this area. We also include numerical examples to illustrate the estimation. We show that the nearly optimal probability of lifetime ruin under the simplified investment strategy is quite close to the original minimum probability of lifetime ruin under reasonable parameter values.

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来源期刊

ASTIN Bulletin 数学-数学跨学科应用

CiteScore

3.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： ASTIN Bulletin publishes papers that are relevant to any branch of actuarial science and insurance mathematics. Its papers are quantitative and scientific in nature, and draw on theory and methods developed in any branch of the mathematical sciences including actuarial mathematics, statistics, probability, financial mathematics and econometrics.