Minimizing the probability of lifetime ruin under borrowing constraints
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Publication:997099
DOI10.1016/j.insmatheco.2006.10.015zbMath1119.91041arXivmath/0703850OpenAlexW2069466024MaRDI QIDQ997099
Virginia R. Young, Erhan Bayraktar
Publication date: 19 July 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0703850
stochastic optimal controloptimal investmentborrowing constraintsprobability of ruinlending rateborrowing rateself-annuitization
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