arXiv 0806.23582008-06-14q-fin.RMmath.OC

Minimizing the Probability of Ruin when Consumption is Ratcheted

Erhan Bayraktar, Virginia R. Young

备注：: Key Words: Self-annuitization, optimal investment, stochastic optimal control, probability of ruin, ratcheting of consumption

英文摘要：

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.

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