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Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin

Erhan Bayraktar·Virginia R. Young
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Abstract

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.

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BibTeXRIS

Erhan Bayraktar, Virginia R. Young. 2007-10-05. Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin. https://arxiv.org/abs/math/0703862

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