Minimizing the Probability of Ruin when Consumption is Ratcheted
Risk Management
2008-12-10 v1 Optimization and Control
Abstract
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.
Keywords
Cite
@article{arxiv.0806.2358,
title = {Minimizing the Probability of Ruin when Consumption is Ratcheted},
author = {Erhan Bayraktar and Virginia R. Young},
journal= {arXiv preprint arXiv:0806.2358},
year = {2008}
}
Comments
Key Words: Self-annuitization, optimal investment, stochastic optimal control, probability of ruin, ratcheting of consumption