Minimizing the lifetime ruin under borrowing and short-selling constraints
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Publication:4576868
DOI10.1080/03461238.2012.745448zbMath1401.91207OpenAlexW2077221075MaRDI QIDQ4576868
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
stochastic optimal controloptimal investmentprobability of ruinlending rateconstrained marketborrowing rateauxiliary marketproportional cash withdrawal
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Related Items (4)
Maximizing the goal-reaching probability before drawdown with borrowing constraint ⋮ Optimal active lifetime investment ⋮ Proportional reinsurance and investment in multiple risky assets under borrowing constraint ⋮ Risk sensitive control of the lifetime ruin problem
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