On minimizing drawdown risks of lifetime investments

DOI10.1016/j.insmatheco.2015.08.007zbMath1348.91249OpenAlexW1854472501MaRDI QIDQ896742

David Landriault, Xinfu Chen, Dongchen Li, Bin Li

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.08.007

zbMATH Keywords

HJB equationportfolio optimizationdrawdown risklifetime investmentminimum variance strategy

Mathematics Subject Classification ID

Related Items (17)

Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis ⋮ Maximizing the goal-reaching probability before drawdown with borrowing constraint ⋮ Longevity risk and retirement income tax efficiency: a location spending rate puzzle ⋮ Minimizing lifetime poverty with a penalty for bankruptcy ⋮ Minimizing the probability of lifetime drawdown under constant consumption ⋮ Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure ⋮ Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process ⋮ Optimal per-loss reinsurance and investment to minimize the probability of drawdown ⋮ Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance ⋮ Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio ⋮ Optimisation of drawdowns by generalised reinsurance in the classical risk model ⋮ Optimal dividends under a drawdown constraint and a curious square-root rule ⋮ Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle ⋮ On the analysis of deep drawdowns for the Lévy insurance risk model ⋮ Generalized expected discounted penalty function at general drawdown for Lévy risk processes ⋮ Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs ⋮ Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion

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