49 citations · 115 across the 28 of their papers we have counts for
12 papers · 1 filter
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…
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 Consumption under a Habit-Formation Constraint: the Deterministic Case
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We formulate and solve a deterministic optimal consumption problem to maximize the discounted CRRA utility of an individual's consumption-to-habit process assuming she only invests…
Optimal Reinsurance under the Mean-Variance Premium Principle to Minimize the Probability of Ruin
Xiaoqing Liang, Zhibin Liang, Virginia R. Young
We consider the problem of minimizing the probability of ruin by purchasing reinsurance whose premium is computed according to the mean-variance premium principle, a combination of…
Optimal Dividend Problem: Asymptotic Analysis
Asaf Cohen, Virginia R. Young
We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical ris…