Minimizing the Probability of Ruin When Consumption is Ratcheted

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

Mathematics Subject Classification ID

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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