Minimizing the Probability of Ruin When Consumption is Ratcheted
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Publication:5022557
DOI10.1080/10920277.2008.10597535zbMath1481.91104arXiv0806.2358OpenAlexW2963350728MaRDI QIDQ5022557
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://arxiv.org/abs/0806.2358
Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42) Financial markets (91G15)
Related Items (5)
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure ⋮ Optimal commutable annuities to minimize the probability of lifetime ruin ⋮ Minimizing the probability of lifetime ruin under stochastic volatility ⋮ Wealth investment strategies for insurance companies and the probability of ruin ⋮ Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
Cites Work
- Proving regularity of the minimal probability of ruin via a game of stopping and control
- Correspondence between lifetime minimum wealth and utility of consumption
- Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
- 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
- Applied stochastic control of jump diffusions
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