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Proving regularity of the minimal probability of ruin via a game of stopping and control

Bayraktar, Erhan; Young, Virginia R. - In: Finance and stochastics 15 (2011) 4, pp. 785-818

Persistent link: https://www.econbiz.de/10009423263

Minimizing the probability of ruin : optimal per-loss reinsurance

Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 82 (2018), pp. 181-190

Persistent link: https://www.econbiz.de/10011929867

Minimizing the expected lifetime spent in drawdown under proportional consumption

Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 15 (2015), pp. 106-114

Persistent link: https://www.econbiz.de/10011552995

Minimizing the probability of lifetime drawdown under constant consumption

Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223

Persistent link: https://www.econbiz.de/10011533908

Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle

Han, Xia; Liang, Zhibin; Young, Virginia R. - In: Scandinavian actuarial journal 2020 (2020) 10, pp. 879-903

Persistent link: https://www.econbiz.de/10012313745

Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 87 (2019), pp. 143-152

Persistent link: https://www.econbiz.de/10012058937

Proving Regularity of the Minimal Probability of Ruin Via a Game of Stopping and Control

Bayraktar, Erhan - 2016

We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market; (b) a controller-and-stopper problem, in which the...

Persistent link: https://www.econbiz.de/10012990971