V.R. Young

University of Michigan at Ann Arbor - Department of Mathematics

2074 East Hall

530 Church Street

Ann Arbor, MI 48109-1043

United States

SCHOLARLY PAPERS

22

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2,590

SSRN CITATIONS
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SSRN RANKINGS

Top 7,166

in Total Papers Citations

31

CROSSREF CITATIONS

151

Scholarly Papers (22)

1.

The Real Option to Delay Annuitization: It's Not Now-or-Never

York-Schulich-Finance Working Paper No. MM11-1
Number of pages: 44 Posted: 08 Nov 2001
Moshe A. Milevsky and V.R. Young
York University - Schulich School of Business and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 1,047 (29,786)
Citation 24

Abstract:

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Retirement, Asset Allocation, Longevity Risk, Mortality

2.

Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting

Number of pages: 37 Posted: 20 Mar 2015
York UniversityYork University - Department of Mathematics and Statistics, York University - Schulich School of Business and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 482 (82,834)
Citation 2

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deferred income annuities, stochastic interest rates, optimal stopping, instantaneous control, retirement, pensions

3.

Comonotonicity and Maximal Stop-Loss Premiums

Bulletin of the Swiss Association of Actuaries, Vol. 2, pp. 99-113, 2000
Number of pages: 14 Posted: 16 May 2010
Katholieke Universiteit Leuven, Georgia State University's Robinson College of Business, University of Michigan at Ann Arbor - Department of Mathematics and Catholic University of Leuven (KUL) - Department of Economics
Downloads 198 (211,241)
Citation 1

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4.

Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities

Journal of Economic Dynamics and Control, Vol. 33, No. 3, 2009
Number of pages: 25 Posted: 31 Jan 2009 Last Revised: 25 Jan 2014
University of Michigan at Ann Arbor - Department of Mathematics, York University - Schulich School of Business, York University - Department of Mathematics & Statistics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 173 (237,528)
Citation 11

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Stochastic mortality, pricing, annuities, Sharpe ratio, non-linear partial differential equations, market price of risk, equivalent martingale measures

5.

Lifetime Ruin Under Ambiguous Hazard Rate

Insurance: Mathematics and Economics, Vol. 70, 2016
Number of pages: 20 Posted: 13 Jun 2015 Last Revised: 30 Jun 2019
V.R. Young and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 133 (293,619)

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probability of lifetime ruin, ambiguity aversion, hazard rate uncertainty, optimal control, stochastic control

6.

Optimal Investment to Minimize the Probability of Drawdown

Stochastics, Forthcoming
Number of pages: 15 Posted: 18 Feb 2016
University of Miami - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 119 (318,901)

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Optimal investment, stochastic optimal control, probability of drawdown

7.

Maximizing the Utility of Consumption with Reversible Annuities

Number of pages: 42 Posted: 30 Oct 2010
Ting Wang and V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 78 (417,318)
Citation 1

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Reversible Annuities, Utility Maximization, Retirement, Optimal Investment, Stochastic Control, Free-Boundary Problem

8.

Stackelberg Differential Game for Insurance Under Model Ambiguity

Number of pages: 31 Posted: 29 Dec 2021
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, Brock University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 58 (490,323)

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Stackelberg differential game, Insurance, Ambiguity, Mean-variance premium principle, Random time horizon

9.

Purchasing Life Insurance to Reach a Bequest Goal

Number of pages: 30 Posted: 22 Feb 2014 Last Revised: 23 Feb 2014
University of Michigan at Ann Arbor - Department of Mathematics, York University - Department of Mathematics & Statistics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 43 (551,880)

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Term life insurance, whole life insurance, bequest motive, deterministic control

10.

Minimizing the Probability of Lifetime Drawdown Under Constant Consumption

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 21 May 2016
University of Miami - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 37 (582,609)
Citation 1

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Optimal investment, stochastic optimal control, probability of drawdown

11.

Optimally Investing to Reach a Bequest Goal

Number of pages: 24 Posted: 05 Mar 2015 Last Revised: 26 May 2016
Erhan Bayraktar and V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 36 (588,195)
Citation 5

Abstract:

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Bequest motive, consumption, optimal investment, stochastic control

12.

Purchasing Term Life Insurance to Reach a Bequest Goal While Consuming

SIAM Journal on Finance, Forthcoming
Number of pages: 31 Posted: 02 Mar 2016
University of Michigan at Ann Arbor - Department of Mathematics, York University - Department of Mathematics & Statistics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 34 (599,254)
Citation 1

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Term life insurance, bequest motive, consumption, optimal investment, stochastic control

13.

Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates

SIAM J. Financial Mathematics, to appear (2019)
Number of pages: 34 Posted: 11 Jul 2018 Last Revised: 27 Mar 2019
University of Miami - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 31 (617,091)
Citation 3

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Optimal Dividend, Drawdown Constraint, Ratcheting, Stochastic Control, Optimal Control, Variational Inequality, Free-Boundary Problem

14.

Asset Allocation and Annuity-Purchase Strategies to Minimize the Probability of Financial Ruin

Mathematical Finance, Vol. 16, No. 4, pp. 647-671, October 2006
Number of pages: 25 Posted: 31 Aug 2006
York University - Schulich School of Business, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 28 (636,172)
Citation 10

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15.

Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio

Journal of Risk & Insurance, Vol. 73, No. 4, pp. 673-686, December 2006
Number of pages: 14 Posted: 29 Nov 2006
York University - Schulich School of Business, York University - Department of Mathematics & Statistics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 20 (693,851)
Citation 2

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16.

Minimizing the Expected Lifetime Spent in Drawdown Under Proportional Consumption

Finance Research Letters, Forthcoming
Number of pages: 12 Posted: 25 Aug 2015 Last Revised: 26 Aug 2015
University of Miami - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 16 (725,712)

Abstract:

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Drawdown, occupation time, optimal investment, stochastic control, free-boundary problem

17.

Pricing in an Incomplete Market with an Affine Term Structure

Number of pages: 23 Posted: 10 Jul 2004
V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics
Downloads 16 (725,712)
Citation 1

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18.

Proving Regularity of the Minimal Probability of Ruin Via a Game of Stopping and Control

Finance Stochastics, Vol. 15, No. 4, 2011
Number of pages: 31 Posted: 28 May 2016
Erhan Bayraktar and V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 15 (734,158)

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probability of lifetime ruin, stochastic games, optimal stopping, optimal investment, viscosity solution, Hamilton-Jacobi-Bellman equation, variational inequality

19.

Optimal Consumption Under a Habit-Formation Constraint

Number of pages: 35 Posted: 12 May 2021 Last Revised: 29 Nov 2021
University of Miami - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 14 (742,879)

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Addictive habit formation, consumption hump, optimal consumption, average past consumption, optimal control, free-boundary problem

20.

Correspondence between Lifetime Minimum Wealth and Utility of Consumption

Finance Stochastics, Vol. 11, 2007
Number of pages: 24 Posted: 28 May 2016
Erhan Bayraktar and V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 9 (788,514)

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Optimal control, Probability of ruin, Utility of consumption, Investment/consumption decisions

21.

Ex Post Moral Hazard and Bayesian Learning in Insurance

Journal of Risk and Insurance, Vol. 77, Issue 4, pp. 829-856, December 2010
Number of pages: 28 Posted: 16 Nov 2010
Michael Ludkovski and V.R. Young
University of California, Santa Barbara and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 3 (848,889)

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22.

Insurance Rate Changing: A Fuzzy Logic Approach

JOURNAL OF RISK AND INSURANCE, Vol. 63, No. 3, September 1996
Posted: 26 Sep 1996
V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics

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