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Retirement Needs Framework, Chapter 9: Is Your Standard of Living Sustainable during Retirement? Ruin Probabilities, Asian Options, and Life Annuities

Retirement Needs Framework, Chapter 9: Is Your Standard of Living Sustainable during Retirement? Ruin Probabilities, Asian Options, and Life Annuities In this paper we compute the conditional ...
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Description: In this paper we compute the conditional and unconditional probability of ruin for an individual who wishes to consume a fixed periodic amount from an initial endowment invested in a portfolio earning a stochastic rate of return. From Retirement Needs Framework, M-RS00-1.
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- Authors: Moshe Arye Milevsky, Christopher Robinson
- Date: Jan 2000
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Pensions & Retirement>Retirement risks

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Retirement Needs Framework, Chapter 9: Is Your Standard of Living Sustainable during Retirement? Ruin Probabilities, Asian Options, and Life Annuities