MINIMIZING THE PROBABILITY OF RUIN WHEN CONSUMPTION IS RATCHETED

被引：10
|
作者：
Bayraktar, Erhan [1 ]
Young, Virginia [1 ]
机构：
[1] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA
来源：
NORTH AMERICAN ACTUARIAL JOURNAL | 2008年 / 12卷 / 04期
基金：
美国国家科学基金会;
关键词：
D O I：
10.1080/10920277.2008.10597535
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We assume that an agent's rate of consumption is ratcheted; that is, it forms a nondecreasing process. We assume that the agent invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Scholes model. Given the rate of consumption, we act as financial advisers and find the optimal investment strategy for the agent who wishes to minimize his probability of ruin. To solve this minimization problem, we use techniques from stochastic optimal control.
引用
收藏
页码：428 / 442
页数：15
相关论文
共 50 条
  • [1] MINIMIZING THE PROBABILITY OF LIFETIME RUIN UNDER RANDOM CONSUMPTION
    Bayraktar, Erhan
    Moore, Kristen
    Young, Virginia
    NORTH AMERICAN ACTUARIAL JOURNAL, 2008, 12 (04) : 384 - 400
  • [2] Mutual fund theorems when minimizing the probability of lifetime ruin
    Bayraktar, Erhan
    Young, Virginia R.
    FINANCE RESEARCH LETTERS, 2008, 5 (02) : 69 - 78
  • [3] MINIMIZING THE PROBABILITY OF RUIN WHEN CLAIMS FOLLOW BROWNIAN MOTION WITH DRIFT
    Promislow, S.
    Young, Virginia
    NORTH AMERICAN ACTUARIAL JOURNAL, 2005, 9 (03) : 109 - 128
  • [4] On minimizing the ruin probability by investment and reinsurance
    Schmidli, H
    ANNALS OF APPLIED PROBABILITY, 2002, 12 (03): : 890 - 907
  • [5] Minimizing the Probability of Lifetime Ruin When Shocks Might Occur: Perturbation Analysis
    Moore, Kristen S.
    Young, Virginia R.
    NORTH AMERICAN ACTUARIAL JOURNAL, 2016, 20 (01) : 17 - 36
  • [6] Minimizing the Probability of Lifetime Exponential Parisian Ruin
    Xiaoqing Liang
    Virginia R. Young
    Journal of Optimization Theory and Applications, 2020, 184 : 1036 - 1064
  • [7] On Minimizing the Ultimate Ruin Probability of an Insurer by Reinsurance
    Kasumo C.
    Kasozi J.
    Kuznetsov D.
    Journal of Applied Mathematics, 2018, 2018
  • [8] Minimizing the ruin probability through capital injections
    Nie, Ciyu
    Dickson, David C. M.
    Li, Shuanming
    ANNALS OF ACTUARIAL SCIENCE, 2011, 5 (02) : 195 - 209
  • [9] Minimizing the Probability of Lifetime Exponential Parisian Ruin
    Liang, Xiaoqing
    Young, Virginia R.
    JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2020, 184 (03) : 1036 - 1064
  • [10] Minimizing the Probability of Absolute Ruin Under Ambiguity Aversion
    Han, Xia
    Liang, Zhibin
    Yuen, Kam Chuen
    Yuan, Yu
    APPLIED MATHEMATICS AND OPTIMIZATION, 2021, 84 (03): : 2495 - 2525
12345