Minimizing the Probability of Ruin when Consumption is Ratcheted

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dc.creatorBayraktar, Erhan
dc.creatorYoung, Virginia R.
dc.date2008-06-14
dc.date.accessioned2026-07-07T12:10:34Z
dc.date.available2026-07-07T12:10:34Z
dc.descriptionWe 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.
dc.descriptionKey Words: Self-annuitization, optimal investment, stochastic optimal control, probability of ruin, ratcheting of consumption
dc.identifierhttps://arxiv.org/abs/0806.2358
dc.identifierhttp://arxiv.org/abs/0806.2358
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209969
dc.subjectRisk Management
dc.subjectOptimization and Control
dc.titleMinimizing the Probability of Ruin when Consumption is Ratcheted
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