Self-Annuitization and Ruin in Retirement
By M. Milevsky, C. Robinson. 2000
136 citations recorded by the source corpus.
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/be5fe8effb187bb325cad81ca0e917806447bb03
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Andrew J. G. Cairns
- Kevin Dowd
- Jan Dhaene
- David P. Blake
- Rob Kaas
- Marc J. Goovaerts
- Steven Vanduffel
- David Vyncke
In Finance
- Jan Dhaene
- Marc J. Goovaerts
- Rob Kaas
- Steven Vanduffel
- David P. Blake
- Kevin Dowd
- David Vyncke
- Erhan Bayraktar
In Management Science and Operations Research
- Jan Dhaene
- Marc J. Goovaerts
- Rob Kaas
- Steven Vanduffel
- David Vyncke
- Kevin Dowd
- Erhan Bayraktar
- David P. Blake
Citations in the corpus
- Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables (2005, unknown): “This idea was set forward and explored in Milevsky and Posner (1998), Milevsky and Robinson (2000), and Huang, Milevsky, and Wang (2004).”
- Optimal investment choices post-retirement in a defined contribution pension scheme (2004, unknown): “Milevsky and Robinson (2000) consider the adoption of a drawdown option assuming a fixed amount withdrawn every year and investment of the remaining fund in one risky asset.”
- Minimizing the probability of lifetime ruin under borrowing constraints (2007, methodology): “Our work differs from Milevsky, Ho, and Robinson (1997) and Milevsky and Robinson (2000) in that we find the optimal dynamic investment strategy to minimize the probability of lifetime ruin, while they take the investment strategy as fixed and find the corresponding probability of lifetime ruin.”
- Comonotonic Approximations for Optimal Portfolio Selection Problems (2005, background): “This problem is considered in Milevsky, Ho & Robinson (1997) and Milevsky & Robinson (2000).”
- Pensionmetrics 2: stochastic pension plan design during the distribution phase (2003, background): “5 Siegel (1997)shows that US equities generated higher average returns than US Treasury bonds and bills in 97% of all 30-year investment horizons since 1802.”
- The Simple Analytics of a Pooled Annuity Fund (2005, unknown): “Milevsky and Robinson (2001) develop the mathematical analysis that can be made by individuals at retirement who face the choice between voluntary annuitization and self-annuitization.”