Minimizing the probability of lifetime ruin under stochastic volatility

被引：8

作者：

Bayraktar, Erhan ^{[1
]}

Hu, Xueying ^{[1
]}

Young, Virginia R. ^{[1
]}

机构：

[1] Univ Michigan, Dept Math, Ann Arbor, MI 48104 USA

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2011年 / 49卷 / 02期

关键词：

Optimal investment; Minimizing the probability of lifetime ruin; Stochastic volatility;

D O I：

10.1016/j.insmatheco.2011.04.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. Given the rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probability of going bankrupt. To solve this minimization problem, we use techniques from stochastic optimal control. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：194 / 206

页数：13

共 15 条

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BAYRAKTAR E, 2011, PROVING REG IN PRESS

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