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Correspondence between lifetime minimum wealth and utility of consumption · Study

WorkCorrespondence between lifetime minimum wealth and utility of consumption

Erhan Bayraktar2007

Work2007

Correspondence between lifetime minimum wealth and utility of consumption

Erhan Bayraktar · Virginia R. Young

40 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Literacy, Pension, Retirement Analysis Risk and Portfolio Optimization

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References

1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 2005Controlled Markov Processes and Viscosity Solutions 1998Methods of Mathematical Finance 1994Controlled markov processes and viscosity solutions 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin 2000Optimal investment for insurers 2001Optimal Proportional Reinsurance Policies in a Dynamic Setting

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2011Proving regularity of the minimal probability of ruin via a game of stopping and control 2006Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement 2008Optimal investment strategy to minimize occupation time

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2006Minimizing the probability of lifetime ruin under borrowing constraintsarticle · 12 shared references 2006Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirementarticle · 10 shared references 2011Proving regularity of the minimal probability of ruin via a game of stopping and controlarticle · 8 shared references 2009Optimality results for dividend problems in insurancearticle · 5 shared references 2004Optimal Investment Strategy to Minimize the Probability of Lifetime Ruinarticle · 5 shared references 2007On reinsurance and investment for large insurance portfoliosarticle · 5 shared references

Details

Year2007

Typeother

Published2007-02-08

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations40

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-007-0035-7

openalex_workW2108237265

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