Minimizing the probability of lifetime ruin under stochastic volatility

DOI10.1016/j.insmatheco.2011.04.001zbMath1218.91146arXiv1003.4216OpenAlexW2025708968MaRDI QIDQ634006

Erhan Bayraktar, Xueying Hu, Virginia R. Young

Publication date: 2 August 2011

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

Full work available at URL: https://arxiv.org/abs/1003.4216

zbMATH Keywords

stochastic volatilityoptimal investmentminimizing the probability of lifetime ruin

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (5)

Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin ⋮ Minimizing the Probability of Lifetime Ruin When Shocks Might Occur: Perturbation Analysis ⋮ Maximizing the utility of consumption with commutable life annuities ⋮ Minimizing the probability of lifetime exponential Parisian ruin ⋮ A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN

Cites Work

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