Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, February 24, 2016
Location:  4096 East Hall (3:00 PM to 4:00 PM)

Title:  Risk Sensitive Control of the Lifetime Ruin Problem

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.

Joint work with Erhan Bayraktar.

Files: 3740_cohen.pptx

Speaker:  Asaf Cohen
Institution:  UM

Event Organizer:   Erhan Bayraktar


Edit this event (login required).
Add new event (login required).
For access requests and instructions, contact

Back to previous page
Back to UM Math seminars/events page.