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Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin
Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 5 (2008) 4, pp. 204-212
Persistent link: https://www.econbiz.de/10003786342
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Optimal investment strategy to minimize occupation time
Bayraktar, Erhan; Young, Virginia R. - 2010
Persistent link: https://www.econbiz.de/10003964941
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Optimal commutable annuities to minimize the probability of lifetime ruin
Wang, Ting; Young, Virginia R. - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 200-216
Persistent link: https://www.econbiz.de/10009501685
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Proving regularity of the minimal probability of ruin via a game of stopping and control
Bayraktar, Erhan; Young, Virginia R. - In: Finance and stochastics 15 (2011) 4, pp. 785-818
Persistent link: https://www.econbiz.de/10009423263
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Maximizing the utility of consumption with commutable life annuities
Wang, Ting; Young, Virginia R. - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 352-369
Persistent link: https://www.econbiz.de/10009669576
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Dividends and reinsurance under a penalty for ruin
Liang, Zhibin; Young, Virginia R. - In: Insurance / Mathematics & economics 50 (2012) 3, pp. 437-445
Persistent link: https://www.econbiz.de/10009544390
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Minimizing the lifetime shortfall or shortfall at death
Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 447-458
Persistent link: https://www.econbiz.de/10009517619
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Minimizing the probability of lifetime ruin under stochastic volatility
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 194-206
Persistent link: https://www.econbiz.de/10009242040
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Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Bayraktar, Erhan; Young, Virginia R. - In: Annals of finance 4 (2008) 4, pp. 399-429
Persistent link: https://www.econbiz.de/10003737188
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Asset allocation and annuity-purchase strategies to minimize the probability of financial ruin
Milevsky, Moshe Arye; Moore, Kristen S.; Young, Virginia R. - In: Mathematical finance : an international journal of … 16 (2006) 4, pp. 647-671
Persistent link: https://www.econbiz.de/10003394186