A bound on the probability of ruin in Merton's model (Q1695461)
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scientific article; zbMATH DE number 6835541
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| English | A bound on the probability of ruin in Merton's model |
scientific article; zbMATH DE number 6835541 |
Statements
A bound on the probability of ruin in Merton's model (English)
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7 February 2018
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Merton's model
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optimal consumption
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geometrical Brownian motion
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ruin probability bound
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0.8109927177429199
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0.7884856462478638
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0.7823556661605835
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0.7808798551559448
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