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

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Year of publication:	2015
Authors:	Bayraktar, Erhan
Other Persons:	Cohen, Asaf (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Risiko \| Risk \| Theorie \| Theory

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Extent:	1 Online-Ressource (28 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 20, 2015 erstellt
Other identifiers:	10.2139/ssrn.2581543 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013025899