Minimizing the probability of lifetime drawdown under constant consumption

DOI10.1016/j.insmatheco.2016.05.007zbMath1369.91160arXiv1507.08713OpenAlexW2963024882MaRDI QIDQ343998

Virginia R. Young, Erhan Bayraktar, Bahman Angoshtari

Publication date: 21 November 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.08713

zbMATH Keywords

stochastic optimal controlfree-boundary problemduality argumentoptimal investmentoptimal controller-stopper problemprobability of drawdown

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Related Items (12)

Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis ⋮ Maximizing the goal-reaching probability before drawdown with borrowing constraint ⋮ Minimizing lifetime poverty with a penalty for bankruptcy ⋮ Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure ⋮ Optimal per-loss reinsurance and investment to minimize the probability of drawdown ⋮ Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance ⋮ Optimisation of drawdowns by generalised reinsurance in the classical risk model ⋮ Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle ⋮ Generalized expected discounted penalty function at general drawdown for Lévy risk processes ⋮ Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs ⋮ Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? ⋮ Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion

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