Risk sensitive control of the lifetime ruin problem

DOI10.1007/S00245-016-9372-2zbMath1407.93429arXiv1503.05769OpenAlexW3122231985MaRDI QIDQ1754659

Asaf Cohen, Erhan Bayraktar

Publication date: 31 May 2018

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.05769

zbMATH Keywords

differential gameslarge deviationsrisk sensitive controloptimal investmentprobability of lifetime ruin

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Differential games and control (49N70) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

Optimal active lifetime investment ⋮ Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching ⋮ Risk-Sensitive Asset Management and Cascading Defaults

Cites Work

• Unnamed Item
• Unnamed Item
• Proving regularity of the minimal probability of ruin via a game of stopping and control
• Control of the multiclass \(\mathrm{G}/\mathrm{G}/1\) queue in the moderate deviation regime
• Optimal investment strategy to minimize occupation time
• Minimizing the probability of lifetime ruin under borrowing constraints
• Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation
• Asymptotically optimal control for a multiclass queueing model in the moderate deviation heavy traffic regime
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• Correspondence between lifetime minimum wealth and utility of consumption
• Risk sensitive stochastic control and differential games
• Controlled Markov processes and viscosity solutions
• Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
• A Differential Game for a Multiclass Queueing Model in the Moderate-Deviation Heavy-Traffic Regime
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Reaching Zero Rapidly
• Minimizing Escape Probabilities: A large Deviations Approach
• Controlling a Process to a Goal in Finite Time
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• Minimizing the lifetime ruin under borrowing and short-selling constraints
• Optimal Control of Favorable Games with a Time Limit
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• Risk-Sensitive Control on an Infinite Time Horizon
• Some Applications and Methods of Large Deviations in Finance and Insurance
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Self-Annuitization and Ruin in Retirement

This page was built for publication: Risk sensitive control of the lifetime ruin problem