Risk sensitive control of the lifetime ruin problem
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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.
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Cites work
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- scientific article; zbMATH DE number 3216771 (Why is no real title available?)
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Cited in
(6)- Lifetime ruin under high-water mark fees and drift uncertainty
- Quantile criterion-based control of the securities portfolio with a nonzero ruin probability
- Optimal active lifetime investment
- Proving regularity of the minimal probability of ruin via a game of stopping and control
- Risk sensitive portfolio optimization with default contagion and regime-switching
- Risk-sensitive asset management and cascading defaults
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