On minimizing drawdown risks of lifetime investments
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Publication:896742
DOI10.1016/J.INSMATHECO.2015.08.007zbMATH Open1348.91249OpenAlexW1854472501MaRDI QIDQ896742FDOQ896742
Authors: Xinfu Chen, David Landriault, Bin Li, Dongchen 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
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Cites Work
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- Title not available (Why is that?)
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- Minimizing the probability of lifetime ruin under borrowing constraints
- The Grossman and Zhou investment strategy is not always optimal
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
- A stopped Brownian motion formula
- A note on applications of stochastic ordering to control problems in insurance and finance
Cited In (30)
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
- Optimisation of drawdowns by generalised reinsurance in the classical risk model
- A general method for analysis and valuation of drawdown risk
- Generalized expected discounted penalty function at general drawdown for Lévy risk processes
- Optimal reinsurance and investment problems to minimize the probability of drawdown
- Optimal investment to minimize the probability of drawdown
- Maximizing the goal-reaching probability before drawdown with borrowing constraint
- Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
- Optimal ratcheting of dividend payout under Brownian motion surplus
- Longevity risk and retirement income tax efficiency: a location spending rate puzzle
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal investment and reinsurance to maximize the probability of drawup before drawdown
- Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time
- Portfolio models for optimizing drawdown duration
- Minimizing lifetime poverty with a penalty for bankruptcy
- Minimizing the probability of lifetime drawdown under constant consumption
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- A Lévy risk model with ratcheting dividend strategy and historic high-related stopping
- Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process
- Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
- Optimal per-loss reinsurance and investment to minimize the probability of drawdown
- Maximum drawdown insurance
- Capital asset pricing model (CAPM) with drawdown measure
- Optimal dividends under a drawdown constraint and a curious square-root rule
- Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
- Drawdown risk measures for asset portfolios with high frequency data
- Dynamic allocation strategies for absolute and relative loss control
- On the analysis of deep drawdowns for the Lévy insurance risk model
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