arXiv:1503.05769 Abstract | arXiv Analytics

arXiv:1503.05769 [math.OC]Abstract References Reviews Resources

Risk Sensitive Control of the Lifetime Ruin Problem

Published 2015-03-19Version 1

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.

Comments: Keywords: Probability of lifetime ruin, optimal investment, risk sensitive control, large deviations, differential games

Categories: math.OC, math.PR, q-fin.MF

Keywords: lifetime ruin problem, lifetime ruin probability problem, risk sensitive control version, risky asset, investments problems

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