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.
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页码：428 / 442
页数：15
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