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q-fin.PM2014
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
Erhan Bayraktar, David Promislow, Virginia Young
We determine the optimal strategies for purchasing term life insurance and for investing in a risky financial market in order to maximize the probability of reaching a bequest goal…
q-fin.MF2014
Quantile Hedging in a Semi-Static Market with Model Uncertainty
Erhan Bayraktar, Gu Wang
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with…