Bayraktar, Erhan; Young, Virginia R. - In: Insurance: Mathematics and Economics 44 (2009) 3, pp. 447-458
We find the optimal investment strategy for an individual who seeks to minimize one of four objectives: (1) the probability that his/her wealth reaches a specified ruin level before death, (2) the probability that his/her wealth reaches that level at death, (3) the expectation of how low his/her...