An optimal consumption problem in finite time with a constraint on the ruin probability

DOI10.1007/s00780-015-0275-xzbMath1328.49016OpenAlexW1660557123MaRDI QIDQ889622

Peter Grandits

Publication date: 9 November 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-015-0275-x

zbMATH Keywords

Hamilton-Jacobi-Bellman equationintegral equationviscosity solutionBrownian motionruin probabilityfree boundary value problemdynamic programming principlesingular control problemoptimal consumption problem

Mathematics Subject Classification ID

Related Items (9)

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences ⋮ A two-dimensional dividend problem for collaborating companies and an optimal stopping problem ⋮ Maximizing expected exponential utility of consumption with a constraint on expected time in poverty ⋮ Optimal dividend payout under stochastic discounting ⋮ Time-inconsistent view on a dividend problem with penalty ⋮ Optimal dividend payments under a time of ruin constraint: exponential claims ⋮ The dividend problem with a finite horizon ⋮ A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes ⋮ Optimality of refraction strategies for a constrained dividend problem

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal consumption in a Brownian model with absorption and finite time horizon
• Existence and asymptotic behavior of an optimal barrier for an optimal consumption problem in a Brownian model with absorption and finite time horizon
• Continuous-time stochastic control and optimization with financial applications
• On optimal stopping and free boundary problems
• Controlled diffusion models for optimal dividend pay-out
• The heat equation and reflected Brownian motion in time-dependent domains. II: Singularities of solutions.
• Optimal dividend payouts for diffusions with solvency constraints
• Asymptotic ruin probabilities and optimal investment
• In the insurance business risky investments are dangerous
• The heat equation and reflected Brownian motion in time-dependent domains.
• Optimal risk and dividend distribution control models for an insurance company
• Finite time Merton strategy under drawdown constraint: a viscosity solution approach
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Some solvable stochastic control problemst^†
• Asymptotic variance parameters for the boundary local times of reflected Brownian motion on a compact interval
• Ruin theory with stochastic return on investments
• Strategies for Dividend Distribution: A Review

This page was built for publication: An optimal consumption problem in finite time with a constraint on the ruin probability