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Gotowe bibliografie tematyczne / Probability of retirement portfolio ruin

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Gotowa bibliografia na temat „Probability of retirement portfolio ruin”

Autor: Grafiati

Data publikacji: 3 czerwca 2025

Data aktualizacji: 31 lipca 2025

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Artykuły w czasopismach na temat "Probability of retirement portfolio ruin"

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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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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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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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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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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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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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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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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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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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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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Części książek na temat "Probability of retirement portfolio ruin"

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Milevsky, Moshe Arye. "The Lifetime Ruin Probability (LRP)." In Retirement Income Recipes in R. Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-51434-1_9.

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