Applied Mathematics and Optimization, Vol.77, No.2, 229-252, 2018
Risk Sensitive Control of the Lifetime Ruin Problem
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