Risk Sensitive Control of the Lifetime Ruin Problem
Optimization and Control
2018-05-02 v5 Probability
Mathematical Finance
Abstract
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.
Keywords
Cite
@article{arxiv.1503.05769,
title = {Risk Sensitive Control of the Lifetime Ruin Problem},
author = {Erhan Bayraktar and Asaf Cohen},
journal= {arXiv preprint arXiv:1503.05769},
year = {2018}
}
Comments
Final version. To appear in Applied Mathematics and Optimization. Keywords: Probability of lifetime ruin, optimal investment, risk sensitive control, large deviations, differential games