A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN

Abstract

AbstractWe study the optimal investment strategy to minimize the probability of lifetime ruin under a general mortality hazard rate. We explore the error between the minimum probability of lifetime ruin and the achieved probability of lifetime ruin if one follows a simple investment strategy inspired by earlier work in this area. We also include numerical examples to illustrate the estimation. We show that the nearly optimal probability of lifetime ruin under the simplified investment strategy is quite close to the original minimum probability of lifetime ruin under reasonable parameter values.