Minimizing the lifetime ruin under borrowing and short-selling constraints
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Publication:4576868
DOI10.1080/03461238.2012.745448zbMATH Open1401.91207OpenAlexW2077221075MaRDI QIDQ4576868FDOQ4576868
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
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Cites Work
- Conjugate convex functions in optimal stochastic control
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- 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
- Title not available (Why is that?)
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
- Minimizing the lifetime shortfall or shortfall at death
Cited In (5)
- 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 investment for minimizing the probability of lifetime ruin
- Optimal active lifetime investment
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