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20072022
most citedOptimal Risk Sharing under Distorted Probabilities

49 citations · 115 across the 28 of their papers we have counts for

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8 papers · 1 filter

q-fin.PM2015

Minimizing Lifetime Poverty with a Penalty for Bankruptcy

Asaf Cohen, Virginia R. Young

We provide investment advice for an individual who wishes to minimize her lifetime poverty, with a penalty for bankruptcy or ruin. We measure poverty via a non-negative, non-increa…

q-fin.PM2015

Annuitization and asset allocation

Moshe A. Milevsky, Virginia R. Young

This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutio…

q-fin.PM2014

Purchasing Life Insurance to Reach a Bequest Goal

Erhan Bayraktar, David Promislow, Virginia Young

We determine how an individual can use life insurance to meet a bequest goal. We assume that the individual's consumption is met by an income, such as a pension, life annuity, or S…

q-fin.PM2012

Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin

Erhan Bayraktar, Virginia R. Young

In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of l…

q-fin.PM2012

Life Insurance Purchasing to Maximize Utility of Household Consumption

Erhan Bayraktar, Virginia R. Young

We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in bu…

q-fin.PM2010★ 19 cited

Minimizing the Probability of Lifetime Ruin under Stochastic Volatility

Erhan Bayraktar, Xueying Hu, Virginia R. Young

We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the c…