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Risk Sensitive Control of the Lifetime Ruin Problem

We study a risk sensitive control version of the lifetime ruin probability problem. We consider a sequence of investments problems in Black-Scholes market that includes a risky asset and a riskless asset. We present a differential game that governs the limit behavior. We solve it explicitly and use it in order to find an asymptotically optimal policy.
Year of publication:
2015-03
Authors: Bayraktar, Erhan ; Cohen, Asaf
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
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Persistent link: https://www.econbiz.de/10011206313
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