Liang, Xiaoqing; Wang, Ruodu; Young, Virginia R. Optimal insurance to maximize RDEU under a distortion-deviation premium principle. (English) Zbl 07525951 Insur. Math. Econ. 104, 35-59 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{X. Liang} et al., Insur. Math. Econ. 104, 35--59 (2022; Zbl 07525951) Full Text: DOI OpenURL
Li, Danping; Young, Virginia R. Stackelberg differential game for reinsurance: mean-variance framework and random horizon. (English) Zbl 07487245 Insur. Math. Econ. 102, 42-55 (2022). MSC: 91G05 91A65 91A80 PDF BibTeX XML Cite \textit{D. Li} and \textit{V. R. Young}, Insur. Math. Econ. 102, 42--55 (2022; Zbl 07487245) Full Text: DOI OpenURL
Li, Danping; Young, Virginia R. Bowley solution of a mean-variance game in insurance. (English) Zbl 1466.91264 Insur. Math. Econ. 98, 35-43 (2021). MSC: 91G05 91A65 91A05 91A80 PDF BibTeX XML Cite \textit{D. Li} and \textit{V. R. Young}, Insur. Math. Econ. 98, 35--43 (2021; Zbl 1466.91264) Full Text: DOI OpenURL
Cohen, Asaf; Young, Virginia R. Optimal dividend problem: asymptotic analysis. (English) Zbl 1464.91068 SIAM J. Financ. Math. 12, No. 1, 29-46 (2021). MSC: 91G05 93E20 60G99 PDF BibTeX XML Cite \textit{A. Cohen} and \textit{V. R. Young}, SIAM J. Financ. Math. 12, No. 1, 29--46 (2021; Zbl 1464.91068) Full Text: DOI arXiv 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
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
Li, Danping; Young, Virginia R. Optimal reinsurance to minimize the discounted probability of ruin under ambiguity. (English) Zbl 1410.91274 Insur. Math. Econ. 87, 143-152 (2019). MSC: 91B30 90C15 35Q91 PDF BibTeX XML Cite \textit{D. Li} and \textit{V. R. Young}, Insur. Math. Econ. 87, 143--152 (2019; Zbl 1410.91274) 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
Liang, Xiaoqing; Young, Virginia R. Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance. (English) Zbl 1410.91272 Stat. Probab. Lett. 140, 167-175 (2018). MSC: 91B30 93E20 60H30 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, Stat. Probab. Lett. 140, 167--175 (2018; Zbl 1410.91272) 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
Liang, Xiaoqing; Young, Virginia R. Annuitization and asset allocation under exponential utility. (English) Zbl 1401.91166 Insur. Math. Econ. 79, 167-183 (2018). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, Insur. Math. Econ. 79, 167--183 (2018; Zbl 1401.91166) Full Text: DOI 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
Li, Danping; Li, Dongchen; Young, Virginia R. Optimality of excess-loss reinsurance under a mean-variance criterion. (English) Zbl 1394.91222 Insur. Math. Econ. 75, 82-89 (2017). MSC: 91B30 60G51 93E20 PDF BibTeX XML Cite \textit{D. Li} et al., Insur. Math. Econ. 75, 82--89 (2017; Zbl 1394.91222) Full Text: DOI arXiv 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
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
Wang, Ting; Young, Virginia R. Hedging pure endowments with mortality derivatives. (English) Zbl 1369.91100 Insur. Math. Econ. 69, 238-255 (2016). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{T. Wang} and \textit{V. R. Young}, Insur. Math. Econ. 69, 238--255 (2016; Zbl 1369.91100) 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
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. Purchasing life insurance to reach a bequest goal. (English) Zbl 1304.91091 Insur. Math. Econ. 58, 204-216 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., Insur. Math. Econ. 58, 204--216 (2014; Zbl 1304.91091) Full Text: DOI arXiv OpenURL
Liang, Zhibin; Young, Virginia R. Dividends and reinsurance under a penalty for ruin. (English) Zbl 1236.91086 Insur. Math. Econ. 50, No. 3, 437-445 (2012). MSC: 91B30 PDF BibTeX XML Cite \textit{Z. Liang} and \textit{V. R. Young}, Insur. Math. Econ. 50, No. 3, 437--445 (2012; Zbl 1236.91086) 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
Egami, Masahiko; Young, Virginia R. Optimal reinsurance strategy under fixed cost and delay. (English) Zbl 1172.62035 Stochastic Processes Appl. 119, No. 3, 1015-1034 (2009). Reviewer: Pavel Gapeev (London) MSC: 62P05 62L15 93E20 91B30 60G40 60J70 PDF BibTeX XML Cite \textit{M. Egami} and \textit{V. R. Young}, Stochastic Processes Appl. 119, No. 3, 1015--1034 (2009; Zbl 1172.62035) Full Text: DOI 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
Egami, Masahiko; Young, Virginia R. Indifference prices of structured catastrophe (CAT) bonds. (English) Zbl 1152.91442 Insur. Math. Econ. 42, No. 2, 771-778 (2008). MSC: 91B24 91B30 PDF BibTeX XML Cite \textit{M. Egami} and \textit{V. R. Young}, Insur. Math. Econ. 42, No. 2, 771--778 (2008; Zbl 1152.91442) Full Text: DOI Link OpenURL
Ludkovski, Michael; Young, Virginia R. Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates. (English) Zbl 1141.91531 Insur. Math. Econ. 42, No. 1, 14-30 (2008). MSC: 91B30 PDF BibTeX XML Cite \textit{M. Ludkovski} and \textit{V. R. Young}, Insur. Math. Econ. 42, No. 1, 14--30 (2008; Zbl 1141.91531) Full Text: DOI Link 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
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
Promislow, S. David; Young, Virginia R. Minimizing the probability of ruin when claims follow Brownian motion with drift. (English) Zbl 1141.91543 N. Am. Actuar. J. 9, No. 3, 109-128 (2005). MSC: 91B30 60H10 60H30 91B28 PDF BibTeX XML Cite \textit{S. D. Promislow} and \textit{V. R. Young}, N. Am. Actuar. J. 9, No. 3, 109--128 (2005; Zbl 1141.91543) Full Text: DOI OpenURL
Jaimungal, Sebastian; Young, Virginia R. Pricing equity-linked pure endowments with risky assets that follow Lévy processes. (English) Zbl 1242.60069 Insur. Math. Econ. 36, No. 3, 329-346 (2005). MSC: 60H30 60G51 60H10 91G80 91B30 PDF BibTeX XML Cite \textit{S. Jaimungal} and \textit{V. R. Young}, Insur. Math. Econ. 36, No. 3, 329--346 (2005; Zbl 1242.60069) Full Text: DOI OpenURL
Moore, Kristen S.; Young, Virginia R. Optimal design of a perpetual equity-indexed annuity. (English) Zbl 1085.60512 N. Am. Actuar. J. 9, No. 1, 57-72 (2005). MSC: 60H30 60H05 91B30 PDF BibTeX XML Cite \textit{K. S. Moore} and \textit{V. R. Young}, N. Am. Actuar. J. 9, No. 1, 57--72 (2005; Zbl 1085.60512) Full Text: DOI OpenURL
Young, Virginia R. Pricing in an incomplete market with an affine term structure. (English) Zbl 1134.91471 Math. Finance 14, No. 3, 359-381 (2004). MSC: 91B28 60H10 60H30 91B30 93E20 PDF BibTeX XML Cite \textit{V. R. Young}, Math. Finance 14, No. 3, 359--381 (2004; Zbl 1134.91471) Full Text: DOI OpenURL
Young, Virginia R. Equity-indexed life insurance: pricing and reserving using the principle of equivalent utility. (English) Zbl 1084.91521 N. Am. Actuar. J. 7, No. 1, 68-86 (2003). MSC: 91B30 60H10 60H30 91B70 PDF BibTeX XML Cite \textit{V. R. Young}, N. Am. Actuar. J. 7, No. 1, 68--86 (2003; Zbl 1084.91521) Full Text: DOI OpenURL
Moore, Kristen S.; Young, Virginia R. Pricing equity-linked pure endowments via the principle of equivalent utility. (English) Zbl 1103.91370 Insur. Math. Econ. 33, No. 3, 497-516 (2003). MSC: 91B30 49L20 60H30 91B28 PDF BibTeX XML Cite \textit{K. S. Moore} and \textit{V. R. Young}, Insur. Math. Econ. 33, No. 3, 497--516 (2003; Zbl 1103.91370) Full Text: DOI OpenURL
Young, Virginia R.; Zariphopoulou, Thaleia Pricing dynamic insurance risks using the principle of equivalent utility. (English) Zbl 1039.91049 Scand. Actuar. J. 2002, No. 4, 246-279 (2002). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B30 PDF BibTeX XML Cite \textit{V. R. Young} and \textit{T. Zariphopoulou}, Scand. Actuar. J. 2002, No. 4, 246--279 (2002; Zbl 1039.91049) Full Text: DOI OpenURL
Young, Virginia R.; De Vylder, F. Etienne Credibility in favor of unlucky insureds. (English) Zbl 1083.62549 N. Am. Actuar. J. 4, No. 1, 107-113 (2000). MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{V. R. Young} and \textit{F. E. De Vylder}, N. Am. Actuar. J. 4, No. 1, 107--113 (2000; Zbl 1083.62549) Full Text: DOI OpenURL
Young, Virginia R. Credibility using semiparametric models and a loss function with a constancy penalty. (English) Zbl 1103.91378 Insur. Math. Econ. 26, No. 2-3, 151-156 (2000). MSC: 91B30 62P05 62G07 PDF BibTeX XML Cite \textit{V. R. Young}, Insur. Math. Econ. 26, No. 2--3, 151--156 (2000; Zbl 1103.91378) Full Text: DOI OpenURL
Rosenberg, Marjorie A.; Young, Virginia R. A Bayesian approach to understanding time series data. (English) Zbl 1082.62503 N. Am. Actuar. J. 3, No. 2, 130-143 (1999). MSC: 62F15 62M10 91B84 PDF BibTeX XML Cite \textit{M. A. Rosenberg} and \textit{V. R. Young}, N. Am. Actuar. J. 3, No. 2, 130--143 (1999; Zbl 1082.62503) Full Text: DOI OpenURL