Zobrazeno 1 - 10
of 656
pro vyhledávání: '"Young, Virginia A."'
Publikováno v:
In Insurance Mathematics and Economics January 2025 120:79-90
Autor:
DellaSala, Dominick A. a, ⁎, Mackey, Brendan b, Kormos, Cyril F. a, Young, Virginia b, Boan, Julee J. c, Skene, Jennifer L. c, Lindenmayer, David B. d, Kun, Zoltan e, Selva, Nuria f, g, h, Malcolm, Jay R. i, Laurance, William F. j
Publikováno v:
In Biological Conservation February 2025 302
In this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cram\'er-Lundberg risk model when the reinsurance premium is computed according to the mean-variance premium principle. We extend the wor
Externí odkaz:
http://arxiv.org/abs/2201.00481
We consider a diffusive model for optimally distributing dividends, while allowing for Knightian model ambiguity concerning the drift of the surplus process. We show that the value function is the unique solution of a non-linear Hamilton-Jacobi-Bellm
Externí odkaz:
http://arxiv.org/abs/2109.09137
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 insurance is priced via a general distortion-deviation premium principle. W
Externí odkaz:
http://arxiv.org/abs/2107.02656
Autor:
Liang, Xiaoqing, Young, Virginia R.
We find the optimal investment strategy in a Black-Scholes market to minimize the probability of so-called {\it lifetime exponential Parisian ruin}, that is, the probability that wealth exhibits an excursion below zero of an exponentially distributed
Externí odkaz:
http://arxiv.org/abs/2104.12638
Publikováno v:
SIAM J. Financial Math., 13(1), pp. 321-352, 2022
We formulate an infinite-horizon optimal investment and consumption problem, in which an individual forms a habit based on the exponentially weighted average of her past consumption rate, and in which she invests in a Black-Scholes market. The indivi
Externí odkaz:
http://arxiv.org/abs/2102.03414
Autor:
Medrano, Hiddecel, Lee, Liza, Young, Virginia, Janecko, Nicol, Deckert, Anne E., Gow, Sheryl P., Reid-Smith, Richard J., Agunos, Agnes
Publikováno v:
In International Journal of Food Microbiology 16 February 2024 412
Autor:
Angoshtari, Bahman, Young, Virginia R.
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 admissible indemnities are such that both the indemnity and retention are no
Externí odkaz:
http://arxiv.org/abs/2012.03798
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 in a riskless market and that she is unwilling to consume at a rate b
Externí odkaz:
http://arxiv.org/abs/2012.02277