Minimizing the Probability of Ruin When Consumption is Ratcheted

DOI10.1080/10920277.2008.10597535zbMath1481.91104arXiv0806.2358MaRDI QIDQ5022557

Virginia R. Young, Erhan Bayraktar

Publication date: 19 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.2358

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91B42: Consumer behavior, demand theory

91G15: Financial markets

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Cites Work

• Proving regularity of the minimal probability of ruin via a game of stopping and control
• Correspondence between lifetime minimum wealth and utility of consumption
• Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
• Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Applied stochastic control of jump diffusions