21 citations · 26 across the 7 of their papers we have counts for
9 papers
Minimizing the Probability of Ruin when Consumption is Ratcheted
Erhan Bayraktar, Virginia R. Young
We assume that an agent's rate of consumption is {\it ratcheted}; that is, it forms a non-decreasing process. Given the rate of consumption, we act as financial advisers and find t…
Optimal Investment Strategy to Minimize Occupation Time
Erhan Bayraktar, Virginia R. Young
We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {\it occupation time}. The individual consumes at…
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
Erhan Bayraktar, Moshe Milevsky, David Promislow +1
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires comp…
Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments
Moshe A. Milevsky, S. David Promislow, Virginia R. Young
We develop a theory for pricing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires comp…
Pricing Life Insurance under Stochastic Mortality via the Instantaneous Sharpe Ratio: Theorems and Proofs
Virginia R. Young
We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the for…
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
Erhan Bayraktar, Virginia R. Young
We show that the mutual fund theorems of Merton (1971) extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain two such theorems by cons…