Comonotonic approximations for the probability of lifetime ruin

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.

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Year of publication:	2012
Authors:	VAN WEERT, KOEN ; DHAENE, JAN ; GOOVAERTS, MARC
Published in:	Journal of Pension Economics and Finance. - Cambridge University Press. - Vol. 11.2012, 02, p. 285-309
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011121357