搜索结果: 1-15 共查到“经济学 Ruin”相关记录15条 . 查询时间(0.437 秒)
Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
Maximizing Utility Consumption Subject a Constraint Lifetime Ruin
2012/9/14
In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which ...
A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA)
retirement income sustainability blueprint ruin contingent life annuity Risk Management
2012/6/4
The purpose of this article is twofold. First, we motivate the need for a new type of stand-alone retirement income insurance product that would help individuals protect against personal longevity ris...
Valuation and hedging of the ruin-contingent life annuity (RCLA)
Valuation hedging of the ruin-contingent life annuity RCLA Pricing of Securities
2012/6/5
This paper analyzes a novel type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product fuses together a path-dependent equity put option with a "personal longevity" ...
Dividend Payments and Related Problems in a Markov-Dependent Insurance Risk Model under Absolute Ruin
Absolute Ruin Markov-Dependent Insurance Risk Model Debit Interest Moment-Generating Function
2013/2/19
In this paper, we study the dividend payments prior to absolute ruin in a Markov-dependent risk process in which the claim occurrence and the claim amount are regulated by an external discrete time Ma...
Parisian ruin probability for spectrally negative Lévy processes
L´ evy process ruin probability Parisian ruin risk process
2011/3/23
In this note we give, for a spectrally negative L\'evy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below ze...
Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution
heavy traffic ruin probability fractional random walk FARIMA process Poisson process
2011/3/23
Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for processes which encompass the fractionally differentiated random walk as well as some FARIMA processe...
Optimization of dividend and reinsurance strategies under ruin probability constraint
Nonlinear regular-singular stochastic optimal control Ruin
2010/10/20
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected p...
Absolute ruin in the Ornstein-Uhlenbeck type risk model
Risk theory absolute ruin Ornstein-Uhlenbeck type processes
2010/10/20
We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability of a positive Ornst...
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifetime ruin
2010/10/19
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. In the current financial ma...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Levy process ruin probability asymptotics Parisian ruin risk process
2010/4/27
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{...
Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin
Optimal Reversible Annuities Minimize Probability Lifetime Ruin
2010/10/18
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The surrender charge of a l...
This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant inte...
We consider an insurance company in the case when the premium rate is a bounded non-negative random function $c_\zs{t}$ and the capital of the insurance company is invested in a risky asset whose pri...
Minimizing the Probability of Ruin when Consumption is Ratcheted
Self-annuitization optimal investment stochastic optimal control probability of ruin ratcheting of consumption
2010/12/20
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 investmen...