Minimizing the probability of lifetime ruin under random consumption

DOI10.1080/10920277.2008.10597531MaRDI QIDQ5022552zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Hedging in incomplete markets with HARA utility
• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• Numerical Methods for an Optimal Investment-Consumption Model
• Numerical Methods for Stochastic Control Problems in Continuous Time
• Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Proving regularity of the minimal probability of ruin via a game of stopping and control

Cited in

(21)

• A bound on the probability of ruin in Merton's model
• Optimal commutable annuities to minimize the probability of lifetime ruin
• Minimizing the probability of lifetime ruin under ambiguity aversion
• Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
• Minimizing the probability of lifetime drawdown under constant consumption
• Optimal investment for minimizing the probability of lifetime ruin
• scientific article; zbMATH DE number 5502241 (Why is no real title available?)
• Minimizing the lifetime ruin under borrowing and short-selling constraints
• Proving regularity of the minimal probability of ruin via a game of stopping and control
• Minimizing the probability of lifetime ruin: two riskless assets with transaction costs
• Minimizing the probability of ruin when consumption is ratcheted
• Minimizing the probability of absolute ruin under the mean‐variance premium principle
• Minimizing the probability of lifetime ruin when shocks might occur: perturbation analysis
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin
• Optimal active lifetime investment
• Minimizing the probability of lifetime ruin under stochastic volatility
• An optimal consumption problem in finite time with a constraint on the ruin probability
• Ruined moments in your life: how good are the approximations?
• Optimal investment strategy to minimize occupation time
• Minimizing the probability of lifetime ruin under borrowing constraints

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