How do, could, and should retirees draw down their financial savings? This article reviews
over 100 papers on this topic from the perspective of individuals, families, governments, and …

We compute the optimal investment and reinsurance strategy for an insurance company that
wishes to minimize its probability of ruin, when the risk process follows a compound Poisson …

Financial commentators have called for more research on sustainable spending rates for
individuals and endowments holding diversified portfolios. We present a forward-looking …

In this paper, we derive the optimal investment and annuitization strategies for a retiree
whose objective is to minimize the probability of lifetime ruin, namely the probability that a …

We determine the optimal robust investment strategy of an individual who targets at a given
rate of consumption and seeks to minimize the probability of lifetime ruin when she does not …

We investigate multiperiod portfolio selection problems in a Black and Scholes type market
where a basket of 1 riskfree and m risky securities are traded continuously. We look for the …

Inspired by the α-maxmin expected utility, we propose a new class of mean-variance
criterion, called α-maxmin mean-variance criterion, and apply it to the reinsurance …

The aim of the paper is to lay the theoretical foundations for the construction of a flexible tool
that can be used by pensioners to find optimal investment and consumption choices in the …

A recent article by de Andrés-Sánchez and Puchades (2012) modeled life annuities as fuzzy
random variables (FRVs). Their article was informative. However, it had the limitation that the …

In this paper, we study the optimal proportional reinsurance problem in a risk model with two
dependent classes of insurance business, where the two claim number processes are …