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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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Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
Liang, Xiaoqing; Liang, Zhibin; Young, Virginia R. - In: Insurance / Mathematics & economics 92 (2020), pp. 128-146
Persistent link: https://www.econbiz.de/10012242047
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Minimizing the probability of lifetime ruin when shocks might occur : perturbation analysis
Moore, Kristen S.; Young, Virginia R. - In: North American actuarial journal 20 (2016) 1, pp. 17-36
Persistent link: https://www.econbiz.de/10011721318
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Optimally investing to reach a bequest goal
Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 70 (2016), pp. 1-10
Persistent link: https://www.econbiz.de/10011597071
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Lifetime ruin under ambiguous hazard rate
Young, Virginia R.; Zhang, Yuchong - In: Insurance / Mathematics & economics 70 (2016), pp. 125-134
Persistent link: https://www.econbiz.de/10011597201
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Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 87 (2019), pp. 143-152
Persistent link: https://www.econbiz.de/10012058937
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Annuitization and asset allocation under exponential utility
Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 79 (2018), pp. 167-183
Persistent link: https://www.econbiz.de/10011825434
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Minimizing the probability of ruin : optimal per-loss reinsurance
Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 82 (2018), pp. 181-190
Persistent link: https://www.econbiz.de/10011929867
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Reaching a bequest goal with life insurance : ambiguity about the risky asset's drift and mortality's hazard rate
Liang, Xiaoqing; Young, Virginia R. - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 187-221
Persistent link: https://www.econbiz.de/10012194122
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Minimizing the probability of lifetime ruin : two riskless assets with transaction costs
Liang, Xiaoqing; Young, Virginia R. - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 847-883
Persistent link: https://www.econbiz.de/10012125302