49 citations · 115 across the 28 of their papers we have counts for
8 papers · 1 filter
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…
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…
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…
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…
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…
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…