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  1. No Access

    Article

    Minimizing the Probability of Lifetime Exponential Parisian Ruin

    We find the optimal investment strategy in a Black–Scholes market to minimize the probability of so-called lifetime exponential Parisian ruin, that is, the probability that wealth exhibits an excursion below zero...

    **aoqing Liang, Virginia R. Young in Journal of Optimization Theory and Applications (2020)

  2. No Access

    Article

    Maximizing expected exponential utility of consumption with a constraint on expected time in poverty

    We compute the optimal investment and consumption strategies for an individual who wishes to maximize her expected discounted exponential utility of lifetime consumption, while imposing a constraint on the exp...

    Dongchen Li, Virginia R. Young in Annals of Finance (2020)

  3. No Access

    Article

    Optimal dividends with an affine penalty

    We find the optimal dividend strategy in two related risk models under an affine penalty for ruin. The first risk model is the classical Cramér–Lundberg risk model, and the second is the so-called dual risk mo...

    Zhibin Liang, Virginia R. Young in Journal of Applied Mathematics and Computing (2019)

  4. No Access

    Article

    Proving regularity of the minimal probability of ruin via a game of stop** and control

    We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and the individual can invest in a Black–Sc...

    Erhan Bayraktar, Virginia R. Young in Finance and Stochastics (2011)

  5. No Access

    Article

    Optimal investment strategy to minimize occupation time

    We find the optimal investment strategy to minimize the expected time that an individual’s wealth stays below zero, the so-called occupation time. The individual consumes at a constant rate and invests in a Black...

    Erhan Bayraktar, Virginia R. Young in Annals of Operations Research (2010)

  6. Article

    Open Access

    Optimal risk sharing under distorted probabilities

    We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing hous...

    Michael Ludkovski, Virginia R. Young in Mathematics and Financial Economics (2009)

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  7. No Access

    Article

    Correspondence between lifetime minimum wealth and utility of consumption

    We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strategy on a given open interval O i...

    Erhan Bayraktar, Virginia R. Young in Finance and Stochastics (2007)

  8. No Access

    Article

    Supermodular Functions on Finite Lattices

    The supermodular order on multivariate distributions has many applications in financial and actuarial mathematics. In the particular case of finite, discrete distributions, we generalize the order to distribut...

    S. David Promislow, Virginia R. Young in Order (2005)

  9. No Access

    Article

    Decomposition properties of dual choice functionals

    The Gini coefficient is a well-known measure of inequality, and it satisfies a non-overlap** additive decomposition property (Ebert 1988b). The Gini coefficient is related to the dual theory of choice, as d...

    S. David Promislow, Virginia R. Young in Social Choice and Welfare (2003)

  10. Article

    Equilibrium in Competitive Insurance Markets Under Adverse Selection and Yaari's Dual Theory of Risk

    Under Yaari's dual theory of risk, we determine the equilibrium separating contracts for high and low risks in a competitive insurance market, in which risks are defined only by their expected losses, that is,...

    Virginia R. Young, Mark J. Browne in The Geneva Papers on Risk and Insurance Theory (2000)

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  11. Article

    Explaining Insurance Policy Provisions via Adverse Selection

    In this article, we show that common insurance policy provisions—namely, deductibles, coinsurance, and maximum limits—can arise as a result of adverse selection in a competitive insurance market. Research on a...

    Virginia R. Young, Mark J. Browne in The Geneva Papers on Risk and Insurance Theory (1997)

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