most citedFinancial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments

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q-fin.RM2008

Minimizing the Probability of Ruin when Consumption is Ratcheted

Erhan Bayraktar, Virginia R. Young

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 t…