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Journal articles on the topic 'Probability of retirement portfolio ruin'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Klimavičienė, Aušra. "Stochastic Optimization of Heuristic Method Rule to Determine Asset Allocation to Retirement Portfolio." Business: Theory and Practice 12, no. (1) (2011): 92–98. https://doi.org/10.3846/btp.2011.10.

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The article examines the problem of determining asset allocation to sustainable retirement portfolio. The article attempts to apply heuristic method – 100 minus age in stocks rule – to determine asset allocation to sustainable retirement portfolio. Using dynamic stochastic simulation and stochastic optimization techniques the optimization of heuristic method rule is presented and the optimal alternative to "100" is found. Seeking to reflect the stochastic nature of stock and bond returns and the human lifespan, the dynamic stochastic simulation models incorporate both the stochastic returns an

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2

Klimavičienė, Aušra. "Using Dynamic Stochastic Simulation to Determine Asset Allocation of Sustainable Retirement Portfelio for a Stochastic Lifetime." Business: Theory and Practice 11, no. (4) (2010): 381–86. https://doi.org/10.3846/btp.2010.41.

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The article examines the problem of determining asset allocation of sustainable retirement portfolio. Former researches used to analyse the fixed retirement planning horizon. Seeking to reflect the stochastic nature of the human lifespan the dynamic stochastic simulation models used for calculations are updated to incorporate the probability of living another year based on Lithuanians ' mortality tables. The article presents the attempts to analyse the methods used to identify the optimal asset allocation of retirement portfolio using dynamic stochastic simulation techniques. The research resu

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3

Taranto, Aldo, and Shahjahan Khan. "Gambler’s ruin problem and bi-directional grid constrained trading and investment strategies." Investment Management and Financial Innovations 17, no. 3 (2020): 54–66. http://dx.doi.org/10.21511/imfi.17(3).2020.05.

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Bi-Directional Grid Constrained (BGC) trading strategies have never been studied academically until now, are relatively new in the world of financial markets and have the ability to out-perform many other trading algorithms in the short term but will almost surely ruin an investment account in the long term. Whilst the Gambler’s Ruin Problem (GRP) is based on martingales and the established probability theory proves that the GRP is a doomed strategy, this research details how the semimartingale framework is required to solve the grid trading problem (GTP), i.e. a form of BGC financial markets

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4

Nie, Ciyu, David C. M. Dickson, and Shuanming Li. "Minimizing the ruin probability through capital injections." Annals of Actuarial Science 5, no. 2 (2011): 195–209. http://dx.doi.org/10.1017/s1748499511000054.

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AbstractWe consider an insurer who has a fixed amount of funds allocated as the initial surplus for a risk portfolio, so that the probability of ultimate ruin for this portfolio is at a known level. We consider the question of whether the insurer can reduce this ultimate ruin probability by allocating part of the initial funds to the purchase of a reinsurance contract. This reinsurance contract would restore the insurer's surplus to a positive level k every time the surplus fell between 0 and k. The insurer's objective is to choose the level k that minimizes the ultimate ruin probability. Usin

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5

Firouzi, Melika, Ghodratollah Emamverdi, and Mohsen Hamidian. "Calculation of Ruin Probability by Insurance Lines and Proposal of an Optimal Portfolio Optimization Method for Insurance Companies." Business, Marketing, and Finance Open 2, no. 2 (2025): 148–55. https://doi.org/10.61838/bmfopen.2.2.14.

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This study aimed to calculate the ruin probability across different insurance lines and propose an optimal portfolio optimization method for insurance companies to enhance financial stability and minimize risk. A quantitative data analysis approach was employed using historical data from 2014 to 2023 across various insurance lines, including life, liability, freight, fire, and engineering. Statistical distribution models such as exponential and normal distributions were applied to estimate loss distributions. Portfolio optimization was performed using Markowitz’s portfolio theory, considering

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6

Patel, Mr Amik, and Prof S. B. Rathod. "Implementation Paper on Identify Citizens Receiving Multiple Benefits Like Pension Under Different Schemes of the Central and State." International Journal for Research in Applied Science and Engineering Technology 10, no. 5 (2022): 561–65. http://dx.doi.org/10.22214/ijraset.2022.42236.

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Abstract: We build an effective, realistic retirement income plan for an individual investor. We propose real time frameworks with such mechanism that investor give some inputs such as number of investment instruments, income, and length of the time period before retirement using Modern Portfolio theory. This aim to develop a retirement framework using fundamentals of Modern Portfolio Theory as per investor’s needs on asset allocation assuming investor’s risk appetite reduces as investor ages in life and worries for real retirement income planning by comparing different statistical models scen

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7

Dickson, D. C. M., and H. R. Waters. "Ruin Problems: Simulation or Calculation?" British Actuarial Journal 2, no. 3 (1996): 727–40. http://dx.doi.org/10.1017/s1357321700003536.

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ABSTRACTIn this paper we use a case study of a non-life insurance portfolio to demonstrate how recent research in ruin theory can be applied to solvency problems. By approximating the aggregate claims distribution for the portfolio by a translated gamma distribution, we estimate ruin probabilities through a recursive procedure when the insurer earns investment income on its surplus. We also show the results of applying simulation techniques to this problem, and discuss some advantages and disadvantages of simulation as a means of assessing ruin probabilities. Finally we discuss the calculation

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8

Ogungbenle, Gbenga Michael, Solomon Adelaja, and Alfred Timzing Chakfa. "Computational Methods of Ruin Probability: Actuarial Comparison of De-Vylder and Tijim’s Models." Far Western Review 2, no. 1 (2024): 153–73. http://dx.doi.org/10.3126/fwr.v2i1.70533.

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The underwriting operation of insurance firms is to assume the risk of the insured in return of premium received. In order to shield itself against extreme losses and avoid the risk of insolvency, it becomes necessary to examine how the portfolio is expected to perform over a long-time horizon. The surplus process is connected with the excess of the premium received over claims outgo of the insurer’s portfolio to enable it predict the level at which the insurer could survive. When the surplus approaches a defined lower limit irrespective of the initial reserve, then the insurer is ruined. The

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9

VAN WEERT, KOEN, JAN DHAENE, and MARC GOOVAERTS. "Comonotonic approximations for the probability of lifetime ruin." Journal of Pension Economics and Finance 11, no. 2 (2011): 285–309. http://dx.doi.org/10.1017/s1474747211000217.

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AbstractThis 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.Using analytical approximations based on comonotonicity, we provide a new approach which is easy to understand and leads to very accurate results without computationally complex calculations. Our analytical approach avoids simulation, which allows to s

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10

Amsler, Par Marc-Henri. "Risque de décès et risque de ruine: Réflexions sur la mesure du risque de ruine." ASTIN Bulletin 22, no. 1 (1992): 107–19. http://dx.doi.org/10.2143/ast.22.1.2005130.

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SummaryThe paper proposes a three parameter measure by which the risk of a portfolio can be assessed. The parameters are: the probability of ruin, the severity of ruin (i.e. the amount of the deficit when ruin occurs) and the time of ruin. This type of analysis does not lend itself to closed form solutions, but it can be easily carried out on a PC. The author presents some theoretical and practical examples.

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11

Afonso, Lourdes B., Alfredo D. Egídio dos Reis, and Howard R. Waters. "Calculating Continuous Time Ruin Probabilities for a Large Portfolio with Varying Premiums." ASTIN Bulletin 39, no. 1 (2009): 117–36. http://dx.doi.org/10.2143/ast.39.1.2038059.

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AbstractIn this paper we present a method for the numerical evaluation of the ruin probability in continuous and finite time for a classical risk process where the premium can change from year to year. A major consideration in the development of this methodology is that it should be easily applicable to large portfolios. Our method is based on the simulation of the annual aggregate claims and then on the calculation of the ruin probability for a given surplus at the start and at the end of each year. We calculate the within-year ruin probability assuming a translated gamma distribution approxi

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12

Slud, Eric, and Craig Hoesman. "Moderate- and large-deviation probabilities in actuarial risk theory." Advances in Applied Probability 21, no. 4 (1989): 725–41. http://dx.doi.org/10.2307/1427763.

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A general model for the actuarial risk-reserve process as a superposition of compound delayed-renewal processes is introduced and related to previous models which have been used in collective risk theory. It is observed that non-stationarity of the portfolio ‘age-structure' within this model can have a significant impact upon probabilities of ruin. When the portfolio size is constant and the policy age-distribution is stationary, the moderate- and large-deviation probabilities of ruin are bounded and calculated using the strong approximation results of Csörg et al. (1987a, b) and a large-devia

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13

Slud, Eric, and Craig Hoesman. "Moderate- and large-deviation probabilities in actuarial risk theory." Advances in Applied Probability 21, no. 04 (1989): 725–41. http://dx.doi.org/10.1017/s0001867800019017.

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A general model for the actuarial risk-reserve process as a superposition of compound delayed-renewal processes is introduced and related to previous models which have been used in collective risk theory. It is observed that non-stationarity of the portfolio ‘age-structure' within this model can have a significant impact upon probabilities of ruin. When the portfolio size is constant and the policy age-distribution is stationary, the moderate- and large-deviation probabilities of ruin are bounded and calculated using the strong approximation results of Csörg et al. (1987a, b) and a large-devia

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14

Zimbidis, Alexandros A. "Stochastic Modelling of Life Insurance Reserving Process: Assessing Ruin Probability and Adjustment Factors." Journal of Advances in Mathematics and Computer Science 39, no. 6 (2024): 43–52. http://dx.doi.org/10.9734/jamcs/2024/v39i61900.

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The paper introduces a comprehensive stochastic model for the reserving process and the corresponding probability of ruin for a life insurance policy or, equivalently, for a portfolio of life policies. Within this framework, a discounted surplus process is established using a general probability space equipped with the natural filtration of past events and a suitable probability measure. Subsequently, it is demonstrated that the surplus process behaves as a submartingale and explores its impact on the probability of ruin, along with the inherent trade-off between the initial expense level and

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15

Korn, Ralf, and Anke Wiese. "Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis." ASTIN Bulletin 38, no. 02 (2008): 423–40. http://dx.doi.org/10.2143/ast.38.2.2033348.

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We study the continuous-time portfolio optimization problem of an insurer. The wealth of the insurer is given by a classical risk process plus gains from trading in a risky asset, modelled by a geometric Brownian motion. The insurer is not only interested in maximizing the expected utility of wealth but is also concerned about the ruin probability. We thus investigate the problem of optimizing the expected utility for a bounded ruin probability. The corresponding optimal strategy in various special classes of possible investment strategies will be calculated. For means of comparison we also ca

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16

Korn, Ralf, and Anke Wiese. "Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis." ASTIN Bulletin 38, no. 2 (2008): 423–40. http://dx.doi.org/10.1017/s0515036100015233.

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We study the continuous-time portfolio optimization problem of an insurer. The wealth of the insurer is given by a classical risk process plus gains from trading in a risky asset, modelled by a geometric Brownian motion. The insurer is not only interested in maximizing the expected utility of wealth but is also concerned about the ruin probability. We thus investigate the problem of optimizing the expected utility for a bounded ruin probability. The corresponding optimal strategy in various special classes of possible investment strategies will be calculated. For means of comparison we also ca

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17

Klimavičienė, Aušra. "STOCHASTIC OPTIMIZATION OF HEURISTIC METHOD RULE TO DETERMINE ASSET ALLOCATION TO RETIREMENT PORTFOLIO / STOCHASTINIS EURISTINIO METODO TAISYKLĖS PENSIJOS PORTFELIO SUDĖČIAI NUSTATYTI OPTIMIZAVIMAS." Business: Theory and Practice 12, no. 1 (2011): 92–98. http://dx.doi.org/10.3846/btp.2011.10.

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The article examines the problem of determining asset allocation to sustainable retirement portfolio. The article attempts to apply heuristic method – 100 minus age in stocks rule – to determine asset allocation to sustainable retirement portfolio. Using dynamic stochastic simulation and stochastic optimization techniques the optimization of heuristic method rule is presented and the optimal alternative to „100“ is found. Seeking to reflect the stochastic nature of stock and bond returns and the human lifespan, the dynamic stochastic simulation models incorporate both the stochastic returns an

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18

Albrecher, Hansjörg, Sem C. Borst, Onno J. Boxma, and Jacques Resing. "Ruin excursions, the G/G/∞ queue, and tax payments in renewal risk models." Journal of Applied Probability 48, A (2011): 3–14. http://dx.doi.org/10.1017/s0021900200099083.

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In this paper we investigate the number and maximum severity of the ruin excursion of the insurance portfolio reserve process in the Cramér–Lundberg model with and without tax payments. We also provide a relation of the Cramér–Lundberg risk model with the G/G/∞ queue and use it to derive some explicit ruin probability formulae. Finally, the renewal risk model with tax is considered, and an asymptotic identity is derived that in some sense extends the tax identity of the Cramér– Lundberg risk model.

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19

A., Dinesh Kumar, and Vasuki M. "OPTIMAL PROPORTIONAL REINSURANCE WITH A CONSTANT RATE OF INTEREST." International Journal of Computational Research and Development 1, no. 1 (2016): 26–35. https://doi.org/10.5281/zenodo.154764.

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The classical measure for an insurance risk is the ruin probability. This is the probability that the surplus process of an insurance company becomes negative in finite time. Ruin probabilities are, from the perspective of a risk manager, the natural dynamic counterpart of the value at risk. We say that ruin occurs when the surplus process, modelled as a stochastic process, becomes negative for the first time. The ruin probability indicates the soundness of the insurer’s combination of the income of an insurance company plus the initial capital on the one hand and the claims process on the oth

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20

Albrecher, Hansjörg, Sem C. Borst, Onno J. Boxma, and Jacques Resing. "Ruin excursions, the G/G/∞ queue, and tax payments in renewal risk models." Journal of Applied Probability 48, A (2011): 3–14. http://dx.doi.org/10.1239/jap/1318940451.

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In this paper we investigate the number and maximum severity of the ruin excursion of the insurance portfolio reserve process in the Cramér–Lundberg model with and without tax payments. We also provide a relation of the Cramér–Lundberg risk model with the G/G/∞ queue and use it to derive some explicit ruin probability formulae. Finally, the renewal risk model with tax is considered, and an asymptotic identity is derived that in some sense extends the tax identity of the Cramér– Lundberg risk model.

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21

Zhou, Ming, and Jun Cai. "Optimal Dynamic Risk Control for Insurers with State-Dependent Income." Journal of Applied Probability 51, no. 2 (2014): 417–35. http://dx.doi.org/10.1239/jap/1402578634.

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In this paper we investigate optimal forms of dynamic reinsurance polices among a class of general reinsurance strategies. The original surplus process of an insurance portfolio is assumed to follow a Markov jump process with state-dependent income. We assume that the insurer uses a dynamic reinsurance policy to minimize the probability of absolute ruin, where the traditional ruin can be viewed as a special case of absolute ruin. In terms of approximation theory of stochastic process, the controlled diffusion model with a general reinsurance policy is established strictly. In such a risk model

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22

Zhou, Ming, and Jun Cai. "Optimal Dynamic Risk Control for Insurers with State-Dependent Income." Journal of Applied Probability 51, no. 02 (2014): 417–35. http://dx.doi.org/10.1017/s0001867800011332.

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In this paper we investigate optimal forms of dynamic reinsurance polices among a class of general reinsurance strategies. The original surplus process of an insurance portfolio is assumed to follow a Markov jump process with state-dependent income. We assume that the insurer uses a dynamic reinsurance policy to minimize the probability of absolute ruin, where the traditional ruin can be viewed as a special case of absolute ruin. In terms of approximation theory of stochastic process, the controlled diffusion model with a general reinsurance policy is established strictly. In such a risk model

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23

Zhou, Ming, and Jun Cai. "Optimal Dynamic Risk Control for Insurers with State-Dependent Income." Journal of Applied Probability 51, no. 02 (2014): 417–35. http://dx.doi.org/10.1017/s0021900200011335.

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In this paper we investigate optimal forms of dynamic reinsurance polices among a class of general reinsurance strategies. The original surplus process of an insurance portfolio is assumed to follow a Markov jump process with state-dependent income. We assume that the insurer uses a dynamic reinsurance policy to minimize the probability of absolute ruin, where the traditional ruin can be viewed as a special case of absolute ruin. In terms of approximation theory of stochastic process, the controlled diffusion model with a general reinsurance policy is established strictly. In such a risk model

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24

Xu, Chenghao, Xiaowen Shen, and Kaiyong Wang. "The finite-time ruin probabilities of a dependent bidimensional risk model with subexponential claims and Brownian perturbations." Nonlinear Analysis: Modelling and Control 30 (March 10, 2025): 1–23. https://doi.org/10.15388/namc.2025.30.39327.

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The paper considers a dependent bidimensional risk model with stochastic return and Brownian perturbations in which the price processes of the investment portfolio of the two lines of business are two geometric Lévy processes, and the claim-number processes of the two lines of business follows two different stochastic processes, which can be dependent. When the two components of each pair of claims from the two lines of business are strongly asymptotically independent and have subexponential distributions, the asymptotics of the finite-time ruin probability are obtained. Numerical studies are

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25

Liu, Bing, and Ming Zhou. "Robust portfolio selection for individuals: Minimizing the probability of lifetime ruin." Journal of Industrial & Management Optimization 13, no. 5 (2017): 0. http://dx.doi.org/10.3934/jimo.2020005.

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26

Dickson, David C. M., and Howard R. Waters. "Relative Reinsurance Retention Levels." ASTIN Bulletin 27, no. 2 (1997): 207–27. http://dx.doi.org/10.2143/ast.27.2.542048.

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AbstractThe problem of determining optimal retention levels for a non-life portfolio consisting of a number of independent sub-portfolios was first discussed by de Finetti (1940). He considered retention levels as optimal if they minimised the variance of the insurer's profit from the portfolio subject to the constraint of a fixed level of expected profit. In this paper we consider a similar problem, changing the criterion for optimality to minimising the probability of ruin, either in discrete or continuous time. We investigate this problem through a series of case studies based on a real por

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27

Mahdzan, Nurul Shahnaz, Amrul Asraf Mohd-Any, and Mun-Kit Chan. "The Influence of Financial Literacy, Risk Aversion and Expectations on Retirement Planning and Portfolio Allocation in Malaysia." Gadjah Mada International Journal of Business 19, no. 3 (2017): 267. http://dx.doi.org/10.22146/gamaijb.24441.

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The two objectives of this paper are to examine the effect of financial literacy, risk aversion and expectations on retirement planning; and, to investigate the effect of these antecedents on the retirement portfolio allocation. Data was collected via a self-administered questionnaire from a sample of 270 working individuals in Kuala Lumpur, Malaysia. Logistic and ordered probit regressions were employed to analyse the first and second objective, respectively. The results from the logistic regression indicate that future expectations significantly influence the probability of planning for reti

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28

Taranto, Aldo, and Shahjahan Khan. "Bi-directional grid absorption barrier constrained stochastic processes with applications in finance & investment." Risk Governance and Control: Financial Markets and Institutions 10, no. 3 (2020): 20–33. http://dx.doi.org/10.22495/rgcv10i3p2.

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Whilst the gambler’s ruin problem (GRP) is based on martingales and the established probability theory proves that the GRP is a doomed strategy, this research details how the semimartingale framework is required for the grid trading problem (GTP) of financial markets, especially foreign exchange (FX) markets. As banks and financial institutions have the requirement to hedge their FX exposure, the GTP can help provide a framework for greater automation of the hedging process and help forecast which hedge scenarios to avoid. Two theorems are adapted from GRP to GTP and prove that grid trading, w

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29

Jeon, Junkee, and Kyunghyun Park. "Optimal retirement and portfolio selection with consumption ratcheting." Mathematics and Financial Economics 14, no. 3 (2020): 353–97. http://dx.doi.org/10.1007/s11579-020-00259-w.

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Afonso, Lourdes B., Rui M. R. Cardoso, Alfredo D. Egídio dos Reis, and Gracinda Rita Guerreiro. "MEASURING THE IMPACT OF A BONUS-MALUS SYSTEM IN FINITE AND CONTINUOUS TIME RUIN PROBABILITIES FOR LARGE PORTFOLIOS IN MOTOR INSURANCE." ASTIN Bulletin 47, no. 2 (2017): 417–35. http://dx.doi.org/10.1017/asb.2017.3.

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AbstractMotor insurance is a very competitive business where insurers operate with quite large portfolios, often decisions must be taken under short horizons and therefore ruin probabilities should be calculated in finite time. The probability of ruin, in continuous and finite time, is numerically evaluated under the classical Cramér–Lundberg risk process framework for a large motor insurance portfolio, where we allow for a posteriori premium adjustments, according to the claim record of each individual policyholder. Focusing on the classical model for bonus-malus systems, we propose that the

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Guan, Lihong, and Xiaohong Wang. "Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables." Entropy 25, no. 4 (2023): 698. http://dx.doi.org/10.3390/e25040698.

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In this paper, we propose a new discrete-time risk model of an insurance portfolio with stochastic premiums, in which the temporal dependence among the premium numbers of consecutive periods is fitted by the first-order integer-valued autoregressive (INAR(1)) process and the temporal dependence among the claim numbers of consecutive periods is described by the integer-valued moving average (INMA(1)) process. To measure the risk of the model quantitatively, we study the explicit expression for a function whose solution is defined as the Lundberg adjustment coefficient and give the Lundberg appr

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Afonso, Lourdes B., Alfredo D. Egídio dos Reis, and Howard R. Waters. "Numerical Evaluation of Continuous Time Ruin Probabilities for a Portfolio with Credibility Updated Premiums." ASTIN Bulletin 40, no. 1 (2010): 399–414. http://dx.doi.org/10.2143/ast.40.1.2049236.

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AbstractThe probability of ruin in continuous and finite time is numerically evaluated in a classical risk process where the premium can be updated according to credibility models and therefore change from year to year. A major consideration in the development of this approach is that it should be easily applicable to large portfolios. Our method uses as a first tool the model developed by Afonso et al. (2009), which is quite flexible and allows premiums to change annually. We extend that model by introducing a credibility approach to experience rating.We consider a portfolio of risks which sa

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Bunto, T. V., and Yu S. Kan. "Quantile criterion-based control of the securities portfolio with a nonzero ruin probability." Automation and Remote Control 74, no. 5 (2013): 811–28. http://dx.doi.org/10.1134/s0005117913050068.

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Shen, Xiaowen, Kaiyong Wang, and Yang Yang. "Asymptotics for Finite-Time Ruin Probabilities of a Dependent Bidimensional Risk Model with Stochastic Return and Subexponential Claims." Mathematics 12, no. 19 (2024): 2969. http://dx.doi.org/10.3390/math12192969.

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The paper considers a bidimensional continuous-time risk model with subexponential claims and Brownian perturbations, in which the price processes of the investment portfolio of the two lines of business are two geometric Lévy processes and the two lines of business share a common claim-number process, which is a renewal counting process. The paper mainly considers the claims of each line of business having a dependence structure. When the claims have subexponential distributions, the asymptotics of the finite-time ruin probabilities ψand(x1,x2;T) and ψsim(x1,x2;T) have been obtained. When the

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Centeno, Lourdes, and Onofre Simões. "Combining Quota-Share and Excess of Loss Treaties on the Reinsurance of n Independent Risks." ASTIN Bulletin 21, no. 1 (1991): 41–55. http://dx.doi.org/10.2143/ast.21.1.2005400.

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AbstractIn this paper, we seek to find the optimal retentions for an insurance company which intends to reinsure each of n risks belonging to its portfolio, by means of a pure quota-share treaty, a pure excess of loss treaty or any combination of the two. The criterion chosen to the selection of the optimal programme is the maximization of the adjustment coefficient, attending to the relationship existing between this coefficient and Lundberg's upper bound of the ruin probability.

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Yang, Yang, Xinzhi Wang, and Zhimin Zhang. "Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims." Nonlinear Analysis: Modelling and Control 26, no. 5 (2021): 801–20. http://dx.doi.org/10.15388/namc.2021.26.23963.

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This paper considers a delayed claim risk model with stochastic return and Brownian perturbation in which each main claim may be accompanied with a delayed claim occurring after a stochastic period of time, and the price process of the investment portfolio is described as a geometric Lévy process. By means of the asymptotic results for randomly weighted sum of dependent subexponential random variables we obtain some asymptotics for finite-time ruin probability. A simulation study is also performed to check the accuracy of the obtained theoretical result via the crude Monte Carlo method.

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Albrecher, Hansjörg, Bohan Chen, Eleni Vatamidou, and Bert Zwart. "Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes." Journal of Applied Probability 57, no. 2 (2020): 513–30. http://dx.doi.org/10.1017/jpr.2020.8.

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AbstractWe investigate the probability that an insurance portfolio gets ruined within a finite time period under the assumption that the r largest claims are (partly) reinsured. We show that for regularly varying claim sizes the probability of ruin after reinsurance is also regularly varying in terms of the initial capital, and derive an explicit asymptotic expression for the latter. We establish this result by leveraging recent developments on sample-path large deviations for heavy tails. Our results allow, on the asymptotic level, for an explicit comparison between two well-known large-claim

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Moore, Kristen S., and Virginia R. Young. "Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement." North American Actuarial Journal 10, no. 4 (2006): 145–61. http://dx.doi.org/10.1080/10920277.2006.10597418.

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HUANG, HUAXIONG, and MOSHE A. MILEVSKY. "Lifetime ruin minimization: should retirees hedge inflation or just worry about it?" Journal of Pension Economics and Finance 10, no. 3 (2011): 363–87. http://dx.doi.org/10.1017/s1474747211000333.

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AbstractInflation for retirees is different from and mostly higher than the macro-economic (average) inflation rate for the entire population. In the U.S.A, for example, the Consumer Price Index for the Urban population (CPI-U) calculated and reported by the Bureau of Labor Statistics (BLS) has a lesser known cousin called the CPI-E (for the elderly) in which the sub-component weights are based on the consumption patterns of Americans above the age of 62. This suggests that Inflation-Linked Bond Funds (ILBFs) – whose individual component bond adjustments are based on broad population (CPI-U) i

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Forsyth, Peter A., and Kenneth R. Vetzal. "Defined Contribution Pension Plans: Who Has Seen the Risk?" Journal of Risk and Financial Management 12, no. 2 (2019): 70. http://dx.doi.org/10.3390/jrfm12020070.

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The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare the outcomes of various asset allocation strategies for a typical DC plan investor. The strategies considered include constant proportion, linear glide path, and optimal dynamic (multi-period) time consistent quadratic shortfall approaches. The last of these is based on a double exponential jump diffus

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Yang, Yang, Kaiyong Wang, and Dimitrios G. Konstantinides. "Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models." Journal of Applied Probability 51, no. 3 (2014): 669–84. http://dx.doi.org/10.1239/jap/1409932666.

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In this paper we consider some nonstandard renewal risk models with some dependent claim sizes and stochastic return, where an insurance company is allowed to invest her/his wealth in financial assets, and the price process of the investment portfolio is described as a geometric Lévy process. When the claim size distribution belongs to some classes of heavy-tailed distributions and a constraint is imposed on the Lévy process in terms of its Laplace exponent, we obtain some asymptotic formulae for the tail probability of discounted aggregate claims and ruin probabilities holding uniformly for s

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Yang, Yang, Kaiyong Wang, and Dimitrios G. Konstantinides. "Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models." Journal of Applied Probability 51, no. 03 (2014): 669–84. http://dx.doi.org/10.1017/s0021900200011591.

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In this paper we consider some nonstandard renewal risk models with some dependent claim sizes and stochastic return, where an insurance company is allowed to invest her/his wealth in financial assets, and the price process of the investment portfolio is described as a geometric Lévy process. When the claim size distribution belongs to some classes of heavy-tailed distributions and a constraint is imposed on the Lévy process in terms of its Laplace exponent, we obtain some asymptotic formulae for the tail probability of discounted aggregate claims and ruin probabilities holding uniformly for s

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CHRISTENSEN, MORTEN MOSEGAARD, and ECKHARD PLATEN. "SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS." International Journal of Theoretical and Applied Finance 10, no. 08 (2007): 1339–64. http://dx.doi.org/10.1142/s0219024907004688.

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We analyze portfolio strategies which are locally optimal, meaning that they maximize the Sharpe ratio in a general continuous time jump-diffusion framework. These portfolios are characterized explicitly and compared to utility based strategies. We show that in the presence of jumps, maximizing the Sharpe ratio is generally inconsistent with maximizing expected utility, in the sense that a utility maximizing individual will not choose a strategy which has a maximal Sharpe ratio. This result will hold unless markets are incomplete or jump risk has no risk premium. In case of an incomplete marke

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Horáková, Galina, František Slaninka, and Zsolt Simonka. "The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance." Mathematics 9, no. 12 (2021): 1350. http://dx.doi.org/10.3390/math9121350.

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The aim of the paper is to propose, and give an example of, a strategy for managing insurance risk in continuous time to protect a portfolio of non-life insurance contracts against unwelcome surplus fluctuations. The strategy combines the characteristics of the ruin probability and the values VaR and CVaR. It also proposes an approach for reducing the required initial reserves by means of capital injections when the surplus is tending towards negative values, which, if used, would protect a portfolio of insurance contracts against unwelcome fluctuations of that surplus. The proposed approach e

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Shabor Rameli, Rozilah, and Maran Marimuthu. "A Conceptual Review on the Effect of Attitudes towards Retirement on Saving Intentions and Retirement Planning Behavior." SHS Web of Conferences 56 (2018): 02005. http://dx.doi.org/10.1051/shsconf/20185602005.

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Retirement planning has been the major concern for many years and is becoming an increasingly prominent issue faced by people nowadays. Retirement planning behavior is defined as people’s behavior towards their retirement planning. Therefore, attitudes toward retirement might lead to the formation of saving intentions to perform the retirement planning behavior. Past studies have indicated that planning has impacted on the saving behavior as well as to the portfolio choice. It is further emphasized that those planners who have retirement planning arrive close to retirement have a high level of

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Pang, Gaobo, and Mark Warshawsky. "Optimizing the equity-bond-annuity portfolio in retirement: The impact of uncertain health expenses." Insurance: Mathematics and Economics 46, no. 1 (2010): 198–209. http://dx.doi.org/10.1016/j.insmatheco.2009.08.009.

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Ashok, Shruti, and Deepika Dhingra. "Reverse Mortgage: A Financial Planning Tool for the Retirees— Case Study Approach in India." South Asian Journal of Business and Management Cases 9, no. 3 (2020): 375–86. http://dx.doi.org/10.1177/2277977920958668.

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Reverse mortgage has always been viewed as a product meant exclusively for the elderly with financial hardship. However, there is a brighter side to it too. This article attempts to project reverse mortgage as a financial planning tool through a case study analysis. Using the coordinated strategy, this case explores how the line-of-credit option in reverse mortgage can meet the cash needs of a retiree during market downturns, allowing his portfolio to stay invested. The suggested strategy is a direct attack on investment risks, especially, sequence of return risk. Using this strategy, the depr

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Emanuel, Kerry, Fabian Fondriest, and James Kossin. "Potential Economic Value of Seasonal Hurricane Forecasts." Weather, Climate, and Society 4, no. 2 (2012): 110–17. http://dx.doi.org/10.1175/wcas-d-11-00017.1.

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Abstract This paper explores the potential utility of seasonal Atlantic hurricane forecasts to a hypothetical property insurance firm whose insured properties are broadly distributed along the U.S. Gulf and East Coasts. Using a recently developed hurricane synthesizer driven by large-scale meteorological variables derived from global reanalysis datasets, 1000 artificial 100-yr time series are generated containing both active and inactive hurricane seasons. The hurricanes thus produced damage to the property insurer’s portfolio of insured property, according to an aggregate wind-damage function

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Higgins, David. "Defining the three Rs of commercial property market performance." Journal of Property Investment & Finance 33, no. 6 (2015): 481–93. http://dx.doi.org/10.1108/jpif-08-2014-0054.

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Purpose – Modern property investment allocation techniques are typically based on recognised measures of return and risk. Whilst these models work well in theory under stable conditions, they can fail when stable assumptions cease to hold and extreme volatility occurs. This is evident in commercial property markets which can experience extended stable periods followed by large concentrated negative price fluctuations as a result of major unpredictable events. This extreme volatility may not be fully reflected in traditional risk calculations and can lead to ruin. The paper aims to discuss thes

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ALBRECHT, PETER, and RAIMOND MAURER. "Self-Annuitization, Consumption Shortfall in Retirement and Asset Allocation: The Annuity Benchmark." Journal of Pension Economics and Finance 1, no. 3 (2002): 269–88. http://dx.doi.org/10.1017/s1474747202001117.

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The present paper considers a retiree of a certain age who is endowed with a certain amount of wealth and is facing alternative investment opportunities. One possibility is to buy a single premium immediate (participating) annuity-contract. This insurance product pays a life-long pension payment of a certain amount, depending e.g. on the age of the retiree, the operating cost of the insurance company and the return the company is able to realize from its investments. The alternative possibility is to invest the single premium into a portfolio of mutual funds and to periodically withdraw a fixe

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