49 citations · 115 across the 28 of their papers we have counts for
5 papers · 1 filter
Optimal Insurance to Maximize RDEU Under a Distortion-Deviation Premium Principle
Xiaoqing Liang, Ruodu Wang, Virginia Young
In this paper, we study an optimal insurance problem for a risk-averse individual who seeks to maximize the rank-dependent expected utility (RDEU) of her terminal wealth, and insur…
Optimal Insurance to Minimize the Probability of Ruin: Inverse Survival Function Formulation
Bahman Angoshtari, Virginia R. Young
We find the optimal indemnity to minimize the probability of ruin when premium is calculated according to the distortion premium principle with a proportional risk load, and admiss…
Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion
Danping Li, Dongchen Li, Virginia R. Young
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a…
Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin
Ting Wang, Virginia R. Young
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The sur…
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…