Maximizing the goal-reaching probability before drawdown with borrowing constraint
From MaRDI portal
Publication:2130910
DOI10.3934/MATH.2021514zbMath1485.91217OpenAlexW3173097705MaRDI QIDQ2130910
Publication date: 25 April 2022
Published in: AIMS Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/math.2021514
stochastic optimal controlsupport functionoptimal investmentborrowing constraintgoal-reaching probability before drawdown
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Cites Work
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Minimizing the probability of lifetime drawdown under constant consumption
- Optimal non-proportional reinsurance control
- Benchmark and mean-variance problems for insurers
- On minimizing drawdown risks of lifetime investments
- Minimizing the probability of lifetime ruin under borrowing constraints
- Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
- Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints
- Optimal investment to minimize the probability of drawdown
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Minimizing the lifetime ruin under borrowing and short-selling constraints
- Maximizing survival, growth and goal reaching under borrowing constraints
- Optimal reinsurance and investment in danger‐zone and safe‐region
- Ruin Minimization for Insurers with Borrowing Constraints
- Convex Analysis
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
This page was built for publication: Maximizing the goal-reaching probability before drawdown with borrowing constraint
