Asymptotics of the probability minimizing a “down-side” risk
نویسندگان
چکیده
منابع مشابه
Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
This paper mainly considers a nonstandard risk model with a constant interest rate, where both the claim sizes and the inter-arrival times follow some certain dependence structures. When the claim sizes are dominatedly varying-tailed, asymptotics for the infinite time ruin probability of the above dependent risk model have been given.
متن کاملThe Risk and Rewards of Minimizing Shortfall Probability
SUMMER 1999 M any different investment objectives and criteria have been suggested for choosing investment strategies. In a static setting, Markowitz [1952] suggests the meanvariance approach. Economic theory more formally postulates that an individual investor would choose an investment strategy to maximize expected utility of wealth and or consumption. In other settings, other criteria might ...
متن کاملMinimizing the Probability of Lifetime
We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, also known as lifetime ruin. We impose two types of borrowing constraints: First, we do not allow the individual to borrow money to invest in the risky asset nor to sell the risky asset short. However, the latter is no...
متن کامل“the effect of risk aversion on the demand for life insurance: the case of iranian life insurance market”
abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...
15 صفحه اولMinimizing the Probability of Ruin in Retirement
Retirees who exhaust their savings while still alive are said to experience financial ruin. The savings are typically grown during life’s accumulation phase then spent during the retirement decumulation phase. Extensive research into invest-and-harvest decumulation strategies has been conducted, but recommendations differ markedly. This has likely been a source of concern and confusion for the ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2010
ISSN: 1050-5164
DOI: 10.1214/09-aap618