Yuan, Yu; Liang, Zhibin; Han, Xia Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs. (English) Zbl 07475152 J. Ind. Manag. Optim. 18, No. 2, 933-967 (2022). MSC: 93E20 62P05 91G05 91G10 PDF BibTeX XML Cite \textit{Y. Yuan} et al., J. Ind. Manag. Optim. 18, No. 2, 933--967 (2022; Zbl 07475152) Full Text: DOI OpenURL
Lee, Junbeom; Yu, Xiang; Zhou, Chao Lifetime ruin under high-water mark fees and drift uncertainty. (English) Zbl 1471.91503 Appl. Math. Optim. 84, No. 3, 2743-2773 (2021). MSC: 91G10 49L25 PDF BibTeX XML Cite \textit{J. Lee} et al., Appl. Math. Optim. 84, No. 3, 2743--2773 (2021; Zbl 1471.91503) Full Text: DOI arXiv OpenURL
Liu, Bing; Zhou, Ming Robust portfolio selection for individuals: minimizing the probability of lifetime ruin. (English) Zbl 1474.91178 J. Ind. Manag. Optim. 17, No. 2, 937-952 (2021). MSC: 91G10 91B42 PDF BibTeX XML Cite \textit{B. Liu} and \textit{M. Zhou}, J. Ind. Manag. Optim. 17, No. 2, 937--952 (2021; Zbl 1474.91178) Full Text: DOI OpenURL
Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints. (English) Zbl 1460.91241 Insur. Math. Econ. 96, 168-184 (2021). MSC: 91G05 91A15 91A80 PDF BibTeX XML Cite \textit{N. Wang} et al., Insur. Math. Econ. 96, 168--184 (2021; Zbl 1460.91241) Full Text: DOI OpenURL
Yener, Haluk Proportional reinsurance and investment in multiple risky assets under borrowing constraint. (English) Zbl 1447.91153 Scand. Actuar. J. 2020, No. 5, 396-418 (2020). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{H. Yener}, Scand. Actuar. J. 2020, No. 5, 396--418 (2020; Zbl 1447.91153) Full Text: DOI OpenURL
Liang, Xiaoqing; Young, Virginia R. Minimizing the probability of lifetime exponential Parisian ruin. (English) Zbl 1433.91159 J. Optim. Theory Appl. 184, No. 3, 1036-1064 (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 93E20 49K10 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, J. Optim. Theory Appl. 184, No. 3, 1036--1064 (2020; Zbl 1433.91159) Full Text: DOI arXiv OpenURL
Liang, Xiaoqing; Young, Virginia R. Reaching a bequest goal with life insurance: ambiguity about the risky asset’s drift and mortality’s hazard rate. (English) Zbl 1431.91338 ASTIN Bull. 50, No. 1, 187-221 (2020). MSC: 91G05 93E20 93B35 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, ASTIN Bull. 50, No. 1, 187--221 (2020; Zbl 1431.91338) Full Text: DOI OpenURL
Guan, Guohui; Liang, Zongxia Robust optimal reinsurance and investment strategies for an AAI with multiple risks. (English) Zbl 1427.91232 Insur. Math. Econ. 89, 63-78 (2019). MSC: 91G05 93E20 91G10 91G80 PDF BibTeX XML Cite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 89, 63--78 (2019; Zbl 1427.91232) Full Text: DOI OpenURL
Liang, Xiaoqing; Young, Virginia R. Minimizing the probability of lifetime ruin: two riskless assets with transaction costs. (English) Zbl 1429.49021 ASTIN Bull. 49, No. 3, 847-883 (2019). MSC: 49K10 49K20 49L20 91G10 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, ASTIN Bull. 49, No. 3, 847--883 (2019; Zbl 1429.49021) Full Text: DOI OpenURL
Zhang, Xin; Meng, Hui; Xiong, Jie; Shen, Yang Robust optimal investment and reinsurance of an insurer under jump-diffusion models. (English) Zbl 1426.91237 Math. Control Relat. Fields 9, No. 1, 59-76 (2019). MSC: 91G05 91G80 93E20 93B35 91A15 91A23 60J75 60G50 PDF BibTeX XML Cite \textit{X. Zhang} et al., Math. Control Relat. Fields 9, No. 1, 59--76 (2019; Zbl 1426.91237) Full Text: DOI OpenURL
Lin, Chuangwei; Zeng, Li; Wu, Huiling Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase. (English) Zbl 1415.91267 J. Ind. Manag. Optim. 15, No. 1, 401-427 (2019). MSC: 91G10 91G80 90C90 PDF BibTeX XML Cite \textit{C. Lin} et al., J. Ind. Manag. Optim. 15, No. 1, 401--427 (2019; Zbl 1415.91267) Full Text: DOI OpenURL
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure. (English) Zbl 1418.91240 Scand. Actuar. J. 2018, No. 10, 863-889 (2018). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{X. Han} et al., Scand. Actuar. J. 2018, No. 10, 863--889 (2018; Zbl 1418.91240) Full Text: DOI OpenURL
Liang, Xiaoqing; Young, Virginia R. Minimizing the probability of ruin: optimal per-loss reinsurance. (English) Zbl 1416.91202 Insur. Math. Econ. 82, 181-190 (2018). MSC: 91B30 93E20 60J75 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, Insur. Math. Econ. 82, 181--190 (2018; Zbl 1416.91202) Full Text: DOI OpenURL
Hussain, Sultan; Parvez, Aqsa Wealth investment strategies for insurance companies and the probability of ruin. (English) Zbl 1397.91286 Iran. J. Sci. Technol., Trans. A, Sci. 42, No. 3, 1555-1561 (2018). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{S. Hussain} and \textit{A. Parvez}, Iran. J. Sci. Technol., Trans. A, Sci. 42, No. 3, 1555--1561 (2018; Zbl 1397.91286) Full Text: DOI OpenURL
Young, Virginia R. Target-bequest investment and insurance fund. (English) Zbl 1393.91130 N. Am. Actuar. J. 22, No. 2, 182-197 (2018). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{V. R. Young}, N. Am. Actuar. J. 22, No. 2, 182--197 (2018; Zbl 1393.91130) Full Text: DOI OpenURL
Bayraktar, Erhan; Cohen, Asaf Risk sensitive control of the lifetime ruin problem. (English) Zbl 1407.93429 Appl. Math. Optim. 77, No. 2, 229-252 (2018). MSC: 93E20 91G10 49N70 49K40 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{A. Cohen}, Appl. Math. Optim. 77, No. 2, 229--252 (2018; Zbl 1407.93429) Full Text: DOI arXiv OpenURL
Young, Virginia R. Purchasing casualty insurance to avoid lifetime ruin. (English) Zbl 1397.91296 Insur. Math. Econ. 77, 133-142 (2017). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{V. R. Young}, Insur. Math. Econ. 77, 133--142 (2017; Zbl 1397.91296) Full Text: DOI OpenURL
Landriault, David; Li, Bin; Loke, Sooie-Hoe; Willmot, Gordon E.; Xu, Di A note on the convexity of ruin probabilities. (English) Zbl 1394.91221 Insur. Math. Econ. 74, 1-6 (2017). MSC: 91B30 60K10 93E20 PDF BibTeX XML Cite \textit{D. Landriault} et al., Insur. Math. Econ. 74, 1--6 (2017; Zbl 1394.91221) Full Text: DOI OpenURL
Moore, Kristen S.; Young, Virginia R. Minimizing the probability of lifetime ruin when shocks might occur: perturbation analysis. (English) Zbl 1414.91349 N. Am. Actuar. J. 20, No. 1, 17-36 (2016). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{K. S. Moore} and \textit{V. R. Young}, N. Am. Actuar. J. 20, No. 1, 17--36 (2016; Zbl 1414.91349) Full Text: DOI OpenURL
Li, Bin; Li, Danping; Xiong, Dewen Alpha-robust mean-variance reinsurance-investment strategy. (English) Zbl 1401.91521 J. Econ. Dyn. Control 70, 101-123 (2016). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{B. Li} et al., J. Econ. Dyn. Control 70, 101--123 (2016; Zbl 1401.91521) Full Text: DOI OpenURL
Landriault, David; Li, Bin; Li, Danping; Li, Dongchen A pair of optimal reinsurance-investment strategies in the two-sided exit framework. (English) Zbl 1371.91097 Insur. Math. Econ. 71, 284-294 (2016). MSC: 91B30 93E20 91G10 PDF BibTeX XML Cite \textit{D. Landriault} et al., Insur. Math. Econ. 71, 284--294 (2016; Zbl 1371.91097) Full Text: DOI OpenURL
Young, Virginia R.; Zhang, Yuchong Lifetime ruin under ambiguous hazard rate. (English) Zbl 1371.91172 Insur. Math. Econ. 70, 125-134 (2016). MSC: 91G10 49L20 60H30 91B30 PDF BibTeX XML Cite \textit{V. R. Young} and \textit{Y. Zhang}, Insur. Math. Econ. 70, 125--134 (2016; Zbl 1371.91172) Full Text: DOI OpenURL
Bayraktar, Erhan; Young, Virginia R. Optimally investing to reach a bequest goal. (English) Zbl 1371.91149 Insur. Math. Econ. 70, 1-10 (2016). MSC: 91G10 91A60 60H30 93E20 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{V. R. Young}, Insur. Math. Econ. 70, 1--10 (2016; Zbl 1371.91149) Full Text: DOI arXiv OpenURL
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. Minimizing the probability of lifetime drawdown under constant consumption. (English) Zbl 1369.91160 Insur. Math. Econ. 69, 210-223 (2016). MSC: 91G10 60G40 93E20 PDF BibTeX XML Cite \textit{B. Angoshtari} et al., Insur. Math. Econ. 69, 210--223 (2016; Zbl 1369.91160) Full Text: DOI arXiv OpenURL
Cohen, Asaf; Young, Virginia R. Minimizing lifetime poverty with a penalty for bankruptcy. (English) Zbl 1369.91162 Insur. Math. Econ. 69, 156-167 (2016). MSC: 91G10 91B30 93E20 PDF BibTeX XML Cite \textit{A. Cohen} and \textit{V. R. Young}, Insur. Math. Econ. 69, 156--167 (2016; Zbl 1369.91162) Full Text: DOI arXiv OpenURL
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. Purchasing term life insurance to reach a bequest goal while consuming. (English) Zbl 1339.91105 SIAM J. Financ. Math. 7, 183-214 (2016). MSC: 91G10 91B30 49L20 35Q91 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., SIAM J. Financ. Math. 7, 183--214 (2016; Zbl 1339.91105) Full Text: DOI arXiv OpenURL
Yener, Haluk Maximizing survival, growth and goal reaching under borrowing constraints. (English) Zbl 1395.91426 Quant. Finance 15, No. 12, 2053-2065 (2015). MSC: 91G10 PDF BibTeX XML Cite \textit{H. Yener}, Quant. Finance 15, No. 12, 2053--2065 (2015; Zbl 1395.91426) Full Text: DOI arXiv OpenURL
Xu, Lin; Wang, Hao; Yao, Dingjun Optimal investment and consumption for an insurer with high-watermark performance fee. (English) Zbl 1394.91237 Math. Probl. Eng. 2015, Article ID 413072, 14 p. (2015). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{L. Xu} et al., Math. Probl. Eng. 2015, Article ID 413072, 14 p. (2015; Zbl 1394.91237) Full Text: DOI OpenURL
Chen, Xinfu; Landriault, David; Li, Bin; Li, Dongchen On minimizing drawdown risks of lifetime investments. (English) Zbl 1348.91249 Insur. Math. Econ. 65, 46-54 (2015). MSC: 91G10 91B30 60H30 PDF BibTeX XML Cite \textit{X. Chen} et al., Insur. Math. Econ. 65, 46--54 (2015; Zbl 1348.91249) Full Text: DOI OpenURL
Yener, Haluk Minimizing the lifetime ruin under borrowing and short-selling constraints. (English) Zbl 1401.91207 Scand. Actuar. J. 2014, No. 6, 535-560 (2014); corrigendum ibid. 2015, No. 8, 752-754 (2015). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{H. Yener}, Scand. Actuar. J. 2014, No. 6, 535--560 (2014; Zbl 1401.91207) Full Text: DOI OpenURL
Mac Donald, Bonnie-Jeanne; Jones, Bruce; Morrison, Richard J.; Brown, Robert L.; Hardy, Mary Research and reality: a literature review on drawing down retirement financial savings. (English) Zbl 1412.91050 N. Am. Actuar. J. 17, No. 3, 181-215 (2013). MSC: 91B30 91-02 PDF BibTeX XML Cite \textit{B.-J. Mac Donald} et al., N. Am. Actuar. J. 17, No. 3, 181--215 (2013; Zbl 1412.91050) Full Text: DOI OpenURL
Shapiro, Arnold F. Modeling future lifetime as a fuzzy random variable. (English) Zbl 1290.91099 Insur. Math. Econ. 53, No. 3, 864-870 (2013). MSC: 91B30 60A86 91D20 PDF BibTeX XML Cite \textit{A. F. Shapiro}, Insur. Math. Econ. 53, No. 3, 864--870 (2013; Zbl 1290.91099) Full Text: DOI OpenURL
Wang, Ting; Young, Virginia R. Optimal commutable annuities to minimize the probability of lifetime ruin. (English) Zbl 1243.91066 Insur. Math. Econ. 50, No. 1, 200-216 (2012). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{T. Wang} and \textit{V. R. Young}, Insur. Math. Econ. 50, No. 1, 200--216 (2012; Zbl 1243.91066) Full Text: DOI arXiv OpenURL
Bayraktar, Erhan; Young, Virginia R. Proving regularity of the minimal probability of ruin via a game of stopping and control. (English) Zbl 1303.91196 Finance Stoch. 15, No. 4, 785-818 (2011). MSC: 91G80 91B30 93E20 60G40 49L20 91A15 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{V. R. Young}, Finance Stoch. 15, No. 4, 785--818 (2011; Zbl 1303.91196) Full Text: DOI arXiv OpenURL
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. Minimizing the probability of lifetime ruin under stochastic volatility. (English) Zbl 1218.91146 Insur. Math. Econ. 49, No. 2, 194-206 (2011). MSC: 91G10 91G50 93E20 91B30 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., Insur. Math. Econ. 49, No. 2, 194--206 (2011; Zbl 1218.91146) Full Text: DOI arXiv OpenURL
Bayraktar, Erhan; Young, Virginia R. Minimizing the probability of lifetime ruin with deferred life annuities. (English) Zbl 1483.91178 N. Am. Actuar. J. 13, No. 1, 141-154 (2009). MSC: 91G05 60G40 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{V. R. Young}, N. Am. Actuar. J. 13, No. 1, 141--154 (2009; Zbl 1483.91178) Full Text: DOI OpenURL
Bayraktar, Erhan; Young, Virginia R. Minimizing the lifetime shortfall or shortfall at death. (English) Zbl 1162.91397 Insur. Math. Econ. 44, No. 3, 447-458 (2009). MSC: 91B30 91B28 93E20 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{V. R. Young}, Insur. Math. Econ. 44, No. 3, 447--458 (2009; Zbl 1162.91397) Full Text: DOI arXiv OpenURL
Bayraktar, Erhan; Young, Virginia R. Minimizing the probability of ruin when consumption is ratcheted. (English) Zbl 1481.91104 N. Am. Actuar. J. 12, No. 4, 428-442 (2008). MSC: 91B42 91G15 93E20 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{V. R. Young}, N. Am. Actuar. J. 12, No. 4, 428--442 (2008; Zbl 1481.91104) Full Text: DOI arXiv OpenURL
Bayraktar, Erhan; Moore, Kristen S.; Young, Virginia R. Minimizing the probability of lifetime ruin under random consumption. (English) Zbl 1481.91192 N. Am. Actuar. J. 12, No. 4, 384-400 (2008). MSC: 91G10 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., N. Am. Actuar. J. 12, No. 4, 384--400 (2008; Zbl 1481.91192) Full Text: DOI OpenURL
Freedman, Barry Efficient post-retirement asset allocation. (English) Zbl 1481.91168 N. Am. Actuar. J. 12, No. 3, 228-241 (2008). MSC: 91G05 PDF BibTeX XML Cite \textit{B. Freedman}, N. Am. Actuar. J. 12, No. 3, 228--241 (2008; Zbl 1481.91168) Full Text: DOI OpenURL
Luo, Shangzhen Ruin minimization for insurers with borrowing constraints. (English) Zbl 1481.91179 N. Am. Actuar. J. 12, No. 2, 143-174 (2008). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{S. Luo}, N. Am. Actuar. J. 12, No. 2, 143--174 (2008; Zbl 1481.91179) Full Text: DOI OpenURL
Bayraktar, Erhan; Young, Virginia R. Correspondence between lifetime minimum wealth and utility of consumption. (English) Zbl 1144.91015 Finance Stoch. 11, No. 2, 213-236 (2007). Reviewer: Yuliya Mishura (Kyïv) MSC: 91G10 91B30 93E20 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{V. R. Young}, Finance Stoch. 11, No. 2, 213--236 (2007; Zbl 1144.91015) Full Text: DOI arXiv OpenURL
Bayraktar, Erhan; Young, Virginia R. Minimizing the probability of lifetime ruin under borrowing constraints. (English) Zbl 1119.91041 Insur. Math. Econ. 41, No. 1, 196-221 (2007). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{V. R. Young}, Insur. Math. Econ. 41, No. 1, 196--221 (2007; Zbl 1119.91041) Full Text: DOI arXiv OpenURL
Moore, Kristen S.; Young, Virginia R. Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement. (English) Zbl 1480.91232 N. Am. Actuar. J. 10, No. 4, 145-161 (2006). MSC: 91G05 49J40 60G40 PDF BibTeX XML Cite \textit{K. S. Moore} and \textit{V. R. Young}, N. Am. Actuar. J. 10, No. 4, 145--161 (2006; Zbl 1480.91232) Full Text: DOI OpenURL
Gerrard, Russell; Haberman, Steven; Vigna, Elena The management of decumulation risks in a defined contribution pension plan. (English) Zbl 1479.91325 N. Am. Actuar. J. 10, No. 1, 84-110 (2006). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{R. Gerrard} et al., N. Am. Actuar. J. 10, No. 1, 84--110 (2006; Zbl 1479.91325) Full Text: DOI OpenURL
Milevsky, Moshe A.; Moore, Kristen S.; Young, Virginia R. Asset allocation and annuity-purchase strategies to minimize the probability of financial ruin. (English) Zbl 1130.91031 Math. Finance 16, No. 4, 647-671 (2006). MSC: 91B30 91B28 49L20 60H10 60H30 35R35 35R60 PDF BibTeX XML Cite \textit{M. A. Milevsky} et al., Math. Finance 16, No. 4, 647--671 (2006; Zbl 1130.91031) Full Text: DOI Link OpenURL