Minimizing the lifetime shortfall or shortfall at death

DOI10.1016/j.insmatheco.2009.01.002zbMath1162.91397arXivmath/0703824OpenAlexW1967715879MaRDI QIDQ1023107

Virginia R. Young, Erhan Bayraktar

Publication date: 10 June 2009

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

Full work available at URL: https://arxiv.org/abs/math/0703824

zbMATH Keywords

stochastic optimal controloptimal investmentborrowing constraintsprobability of ruinself-annuitization

Mathematics Subject Classification ID

Related Items (3)

Minimizing the lifetime ruin under borrowing and short-selling constraints ⋮ Correspondence between lifetime minimum wealth and utility of consumption ⋮ Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming

Cites Work

• Minimizing the probability of lifetime ruin under borrowing constraints
• Point processes and queues. Martingale dynamics
• Correspondence between lifetime minimum wealth and utility of consumption
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Stochastic differential equations. An introduction with applications.
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