Minimizing the Probability of Lifetime Ruin under Random Consumption

DOI10.1080/10920277.2008.10597531zbMath1481.91192OpenAlexW2074689431MaRDI QIDQ5022552

Kristen S. Moore, Virginia R. Young, Erhan Bayraktar

Publication date: 19 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597531

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

Optimal active lifetime investment ⋮ Optimal commutable annuities to minimize the probability of lifetime ruin ⋮ Minimizing the probability of lifetime ruin under stochastic volatility ⋮ Minimizing the Probability of Lifetime Ruin When Shocks Might Occur: Perturbation Analysis

Cites Work

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• Proving regularity of the minimal probability of ruin via a game of stopping and control
• Hedging in incomplete markets with HARA utility
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Numerical Methods for an Optimal Investment-Consumption Model
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Numerical Methods for Stochastic Control Problems in Continuous Time

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