On minimizing drawdown risks of lifetime investments

X Chen, D Landriault, B Li, D Li - Insurance: Mathematics and Economics, 2015 - Elsevier
Drawdown measures the decline of portfolio value from its historic high-water mark. In this
paper, we study a lifetime investment problem aiming at minimizing the risk of drawdown …

Optimal investment to minimize the probability of drawdown

B Angoshtari, E Bayraktar, VR Young - Stochastics, 2016 - Taylor & Francis
We determine the optimal investment strategy in a Black–Scholes financial market to
minimize the so-called probability of drawdown, namely, the probability that the value of an …

[图书][B] Advanced High Strength Steel And Press Hardening-Proceedings Of The 4th International Conference On Advanced High Strength Steel And Press Hardening …

Y Zhang, M Ma - 2018 - books.google.com
The automotive industry requirements for vehicle weight reduction, weight containment,
improved part functionality and passenger safety have resulted in the increased use of steel …

Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin

X Liang, VR Young - Insurance: Mathematics and Economics, 2023 - Elsevier
We minimize the probability of lifetime ruin in a deterministic financial and insurance model,
although the investor's time of death is random, with an age-dependent force of mortality. By …

Reaching a bequest goal with life insurance: ambiguity about the risky asset's drift and mortality's hazard rate

X Liang, VR Young - ASTIN Bulletin: The Journal of the IAA, 2020 - cambridge.org
We determine the optimal robust strategy of an individual who seeks to maximize the
(penalized) probability of reaching a bequest goal when she is uncertain about the drift of …

Optimal investment and reinsurance to reach a bequest goal with random time solvency regulation

L Xu, K Fan, M Wang, D Yao - International Journal of Control, 2024 - Taylor & Francis
This paper studies optimal investment and proportional reinsurance policies for an insurer
with Markov regime-switching model and random time solvency regulation. The goal of the …

Optimal Investment and Reinsurance to Maximize the Probability of Drawup Before Drawdown

Y Liu, J Li, J Zhou, Y Deng - Methodology and Computing in Applied …, 2024 - Springer
In this paper, we study the optimal investment and proportional reinsurance problem for an
insurer with short-selling and borrowing constraints under the expected value premium …

Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance

LV Brinker, H Schmidli - Journal of Applied Probability, 2022 - cambridge.org
A diffusion approximation to a risk process under dynamic proportional reinsurance is
considered. The goal is to minimise the discounted time in drawdown; that is, the time where …

Stochastic optimisation of drawdowns via dynamic reinsurance controls

LV Brinker - 2021 - kups.ub.uni-koeln.de
In this work, we analyse optimisation problems related to the minimisation of severity and
duration of relative losses, so-called drawdowns. We model the accumulated surplus (total …

Minimal expected time in drawdown through investment for an insurance diffusion model

LV Brinker - Risks, 2021 - mdpi.com
Consider an insurance company whose surplus is modelled by an arithmetic Brownian
motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in …