Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities

Erhan Bayraktar and Virginia Young

North American Actuarial Journal, 2009, vol. 13, issue 1, 141-154

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 who can purchase a deferred life annuity. Although we let the admissible set of strategies of annuity purchasing process be the set of 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.

Date: 2009
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DOI: 10.1080/10920277.2009.10597543

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