Minimizing the probability of lifetime ruin under stochastic volatility
From MaRDI portal
Publication:634006
DOI10.1016/j.insmatheco.2011.04.001zbMath1218.91146arXiv1003.4216MaRDI QIDQ634006
Erhan Bayraktar, Xueying Hu, Virginia R. Young
Publication date: 2 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1003.4216
93E20: Optimal stochastic control
91G50: Corporate finance (dividends, real options, etc.)
91G10: Portfolio theory
Related Items
Minimizing the Probability of Lifetime Ruin When Shocks Might Occur: Perturbation Analysis, Maximizing the utility of consumption with commutable life annuities
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