49 citations · 115 across the 28 of their papers we have counts for
4 papers · 2 filters
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…
Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance
Xiaoqing Liang, Virginia R. Young
We study the problem of minimizing the discounted probability of exponential Parisian ruin, that is, the discounted probability that an insurer's surplus exhibits an excursion belo…