Dollar cost averaging (DCA) is a widely employed investment strategy in financial markets. At the same time it is also well documented that such gradual policy is sub-optimal from the point of view of risk averse decision makers with a fixed investment horizon T 0. However, an explicit strategy...

In this paper, we search for such an investment strategy that minimises the probability of default (or lifetime ruin probability) given a fixed investment amount during the accumulation phase and a fixed withdrawal rate during the annuitisation part. In solving the above-mentioned problem, we...

We develop an approximate solution method for a classical saving for retirement problem in case of random payment scheme and value at risk (VaR) defined investor preferences. As the results of our numerical calculations indicate our approximate approach provides greater accuracy and reduces...

In this paper we address the problem of projecting mortality when data are severely affected by random fluctuations, due in particular to a small sample size, or when data are scanty. Such situations may emerge when dealing with small populations, such as small countries (possibly previously...