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 …

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 …

The automotive industry requirements for vehicle weight reduction, weight containment,
improved part functionality and passenger safety have resulted in the increased use of steel …

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 …

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 …

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 …

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 …

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 …

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 …

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 …