Minimizing the Probability of Ruin when Consumption is Ratcheted

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We assume that an agent's rate of consumption is {\it ratcheted}; that is, it forms a non-decreasing process. 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.
Key Words: Self-annuitization, optimal investment, stochastic optimal control, probability of ruin, ratcheting of consumption

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Risk Management, Optimization and Control

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http://salesiana.dossiersoluciones.com/handle/123456789/209969

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0806.2358
 http://arxiv.org/abs/0806.2358

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arXiv