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