Correspondence between lifetime minimum wealth and utility of consumption
From MaRDI portal
Publication:2463711
DOI10.1007/s00780-007-0035-7zbMath1144.91015arXivmath/0703820OpenAlexW2108237265MaRDI QIDQ2463711
Erhan Bayraktar, Virginia R. Young
Publication date: 16 December 2007
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0703820
Related Items
Minimizing lifetime poverty with a penalty for bankruptcy, Minimizing the probability of lifetime drawdown under constant consumption, Minimizing the probability of lifetime ruin under stochastic volatility, The private value of public pensions, Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle, Proving regularity of the minimal probability of ruin via a game of stopping and control, Optimal investment and life insurance strategies under minimum and maximum constraints, Gambling for resurrection and the heat equation on a triangle, Risk sensitive control of the lifetime ruin problem, Optimal investment strategy to minimize occupation time, Robust portfolio selection for individuals: minimizing the probability of lifetime ruin, Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming, Optimally investing to reach a bequest goal, REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE, Minimizing the lifetime shortfall or shortfall at death, Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement, Minimizing the Probability of Ruin When Consumption is Ratcheted, Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Minimizing the probability of lifetime ruin under borrowing constraints
- Minimizing the lifetime shortfall or shortfall at death
- Stochastic control for optimal new business
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal Control of the Running Max
- ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
- An Optimal Investment/Consumption Model with Borrowing
- Consumption-Investment Models with Constraints
- Optimal Control on the $L^\infty $ Norm of a Diffusion Process
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
- Real Analysis and Probability
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Risk Aversion in the Small and in the Large
- Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
- Self-Annuitization and Ruin in Retirement
- Optimal investment for insurers
