Risk sensitive control of the lifetime ruin problem
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Publication:1754659
DOI10.1007/s00245-016-9372-2zbMath1407.93429arXiv1503.05769OpenAlexW3122231985MaRDI QIDQ1754659
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
differential gameslarge deviationsrisk sensitive controloptimal investmentprobability of lifetime ruin
Sensitivity, stability, well-posedness (49K40) Differential games and control (49N70) Optimal stochastic control (93E20) Portfolio theory (91G10)
Related Items
Optimal active lifetime investment, Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching, Risk-Sensitive Asset Management and Cascading Defaults
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