Risk Sensitive Control of the Lifetime Ruin Problem

Erhan Bayraktar and Asaf Cohen

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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.

Date: 2015-03, Revised 2016-07
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Citations: View citations in EconPapers (2)

Published in Applied Mathematics and Optimization, 77 (2), 229-252, 2018

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