Risk Sensitive Control of the Lifetime Ruin Problem
28 Pages Posted: 22 Mar 2015
Date Written: March 20, 2015
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.
Keywords: Probability of lifetime ruin, optimal investment, risk sensitive control, large deviations, differential games
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