Enviar artigo por via de e-mail A Bound on the Probability of Ruin in Merton’s Model
- Autores: Morozov V.V.1, Babin V.A.1
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Afiliações:
- Faculty of Computational Mathematics and Cybernetics, Moscow State University
- Edição: Volume 28, Nº 3 (2017)
- Páginas: 368-376
- Seção: II. Informatics
- URL: https://journals.rcsi.science/1046-283X/article/view/247632
- DOI: https://doi.org/10.1007/s10598-017-9370-5
- ID: 247632
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Resumo
We consider a modified Merton’s model of optimal consumption that allows for the utility of continuous and terminal consumption. An explicit solution of the Hamilton-Jacoby-Bellman equation is found. An upper bound is constructed on the probability of an event involving either investor ruin or negative consumption.
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Sobre autores
V. Morozov
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Autor responsável pela correspondência
Email: vmorosov@mail.ru
Rússia, Moscow
V. Babin
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Email: vmorosov@mail.ru
Rússia, Moscow
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