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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