Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
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Cited by:
- Asaf Cohen, 2019. "Brownian Control Problems for a Multiclass M/M/1 Queueing Problem with Model Uncertainty," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 739-766, May.
- Asaf Cohen & Virginia R. Young, 2015. "Minimizing Lifetime Poverty with a Penalty for Bankruptcy," Papers 1509.01694, arXiv.org.
- Erhan Bayraktar & Yuchong Zhang, 2014. "Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs," Papers 1404.7406, arXiv.org, revised Nov 2014.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-SOG-2014-02-15 (Sociology of Economics)
- NEP-UPT-2014-02-15 (Utility Models and Prospect Theory)
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