Minimizing the lifetime ruin under borrowing and short-selling constraints

DOI10.1080/03461238.2012.745448zbMATH Open1401.91207OpenAlexW2077221075MaRDI QIDQ4576868FDOQ4576868

Haluk Yener

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2012.745448

zbMATH Keywords

stochastic optimal controloptimal investmentprobability of ruinconstrained marketlending rateborrowing rateauxiliary marketproportional cash withdrawal

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

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• Title not available (Why is that?)
• Conjugate convex functions in optimal stochastic control
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
• Convex duality in constrained portfolio optimization
• A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
• Optimal investment and consumption decision of a family with life insurance
• On minimizing the ruin probability by investment and reinsurance
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• Self-Annuitization and Ruin in Retirement
• An Optimal Investment/Consumption Model with Borrowing
• On reinsurance and investment for large insurance portfolios
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Optimal investment strategy to minimize occupation time
• Minimizing the probability of lifetime ruin under borrowing constraints
• Optimal consumption and portfolio choice with borrowing constraints
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• Minimizing the lifetime shortfall or shortfall at death

Cited In (4)

• Proportional reinsurance and investment in multiple risky assets under borrowing constraint
• Maximizing the goal-reaching probability before drawdown with borrowing constraint
• Risk sensitive control of the lifetime ruin problem
• Optimal active lifetime investment

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