Minimizing the probability of lifetime ruin under stochastic volatility
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Publication:634006
DOI10.1016/J.INSMATHECO.2011.04.001zbMATH Open1218.91146arXiv1003.4216OpenAlexW2025708968MaRDI QIDQ634006FDOQ634006
Authors: Erhan Bayraktar, Xueying Hu, Virginia R. Young 
Publication date: 2 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Abstract: We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial market especially, it is important to include stochastic volatility in the risky asset's price process. Given the rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probability of going bankrupt. To solve this minimization problem, we use techniques from stochastic optimal control.
Full work available at URL: https://arxiv.org/abs/1003.4216
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Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)
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Cited In (16)
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- Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
- Maximizing the utility of consumption with commutable life annuities
- Minimizing the probability of lifetime ruin when shocks might occur: perturbation analysis
- Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin
- Minimizing the probability of absolute ruin under the mean‐variance premium principle
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- Minimization of absolute ruin probability under negative correlation assumption
- A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin
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- Minimizing the probability of lifetime ruin under random consumption
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