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Ruined moments in your life: how good are the approximations?
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References

  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 2002The concept of comonotonicity in actuarial science and finance: applications398 cited
  • 2003Pensionmetrics 2: stochastic pension plan design during the distribution phase172 cited
  • 1998Optimal Asset Allocation towards the End of the Life Cycle: To Annuitize or Not to Annuitize?135 cited
  • 2004Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin121 cited
  • 2000Self-Annuitization and Ruin in Retirement116 cited
  • 2002Self-Annuitization, Consumption Shortfall in Retirement and Asset Allocation: The Annuity Benchmark73 cited
  • 2008Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities Versus Phased Withdrawal Plans63 cited

Cited by

  • 2005Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables75 cited
  • 2007Optimal approximations for risk measures of sums of lognormals based on conditional expectations56 cited
  • 2016Individual Capability and Effort in Retirement Benefit Choice32 cited
  • 2006Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement

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32 cited
  • 2005The Implied Longevity Yield: A Note on Developing an Index for Life Annuities25 cited