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    erhan@umich.edu

 

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