49 citations · 115 across the 28 of their papers we have counts for
33 papers
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
Pablo Azcue, Xiaoqing Liang, Nora Muler +1
In this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cramér-Lundberg risk model when the reinsurance premium is computed…
Optimal Dividends under Model Uncertainty
Prakash Chakraborty, Asaf Cohen, Virginia R. Young
We consider a diffusive model for optimally distributing dividends, while allowing for Knightian model ambiguity concerning the drift of the surplus process. We show that the value…
Optimal Insurance to Maximize RDEU Under a Distortion-Deviation Premium Principle
Xiaoqing Liang, Ruodu Wang, Virginia Young
In this paper, we study an optimal insurance problem for a risk-averse individual who seeks to maximize the rank-dependent expected utility (RDEU) of her terminal wealth, and insur…
Minimizing the Probability of Lifetime Exponential Parisian Ruin
Xiaoqing Liang, Virginia R. Young
We find the optimal investment strategy in a Black-Scholes market to minimize the probability of so-called {\it lifetime exponential Parisian ruin}, that is, the probability that w…
Optimal Investment and Consumption under a Habit-Formation Constraint
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We formulate an infinite-horizon optimal investment and consumption problem, in which an individual forms a habit based on the exponentially weighted average of her past consumptio…
Optimal Insurance to Minimize the Probability of Ruin: Inverse Survival Function Formulation
Bahman Angoshtari, Virginia R. Young
We find the optimal indemnity to minimize the probability of ruin when premium is calculated according to the distortion premium principle with a proportional risk load, and admiss…