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

  • University of Michigan at Ann Arbor - Department of Mathematics

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    • Tel: 734-764-7227
SCHOLARLY PAPERS

28

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69

Scholarly Papers (28)

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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 1,251 (36,017)
Citation 24

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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
Huang Huaxiong, Moshe A. Milevsky and V.R. Young
Beijing Normal University (BNU) - Advanced Institute of Natural Sciences, York University - Schulich School of Business and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 550 (109,286)
Citation 11

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

3.

Optimal Investment to Minimize the Probability of Drawdown

Stochastics, Forthcoming
Number of pages: 15 Posted: 18 Feb 2016
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
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 275 (241,771)

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Optimal investment, stochastic optimal control, probability of drawdown

4.

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
Jan Dhaene, Shaun Wang, V.R. Young and Marc Goovaerts
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 256 (257,987)
Citation 1

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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 250 (264,166)

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

6.

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
Erhan Bayraktar, Moshe A. Milevsky, S. D. Promislow and V.R. Young
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 245 (269,587)
Citation 11

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

7.

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, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 124 (491,880)

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

8.

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 124 (491,880)
Citation 7

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Bequest motive, consumption, optimal investment, stochastic control

9.

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
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
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 123 (494,947)
Citation 4

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

10.

Minimizing the Probability of Lifetime Drawdown Under Constant Consumption

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 21 May 2016
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
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 123 (494,947)
Citation 1

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Optimal investment, stochastic optimal control, probability of drawdown

11.

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 108 (545,995)
Citation 1

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

12.

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 99 (581,542)
Citation 2

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

13.

Optimal Loss Reporting in Continuous Time with Full Insurance

Number of pages: 36 Posted: 22 May 2024 Last Revised: 06 Feb 2025
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 96 (593,334)

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Barrier strategy, bonus-malus system, exponential utility, moral hazard

14.

Reinsurance Games with Two Reinsurers: Tree Versus Chain

European Journal of Operational Research, Forthcoming; https://doi.org/10.1016/j.ejor.2023.04.005
Number of pages: 37 Posted: 03 May 2023
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 93 (605,338)

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Game theory, Stackelberg differential game, non-cooperative Nash game, Optimal reinsurance, Ambiguity

15.

Co-opetition in Reinsurance Markets: When Pareto Meets Stackelberg and Nash

Number of pages: 32 Posted: 11 Feb 2025
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 86 (635,467)

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Co-opetition, Risk sharing, Pareto optimality, Stackelberg reinsurance game, Nash equilibrium

16.

Stackelberg Reinsurance Chain Under Model Ambiguity

Scandinavian Actuarial Journal, Forthcoming
Number of pages: 34 Posted: 25 Aug 2022 Last Revised: 15 Mar 2024
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 86 (635,467)
Citation 3

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Knightian uncertainty, Ambiguity, mean-variance premium principle, Stackelberg differential game, Reinsurance

17.

Purchasing Life Insurance to Reach a Bequest Goal

Number of pages: 30 Posted: 22 Feb 2014 Last Revised: 23 Feb 2014
Erhan Bayraktar, S. D. Promislow and V.R. Young
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 65 (743,754)

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

18.

Stackelberg Differential Game for Insurance under Model Ambiguity: General Divergence

Accepted for publication in Scandinavian Actuarial Journal
Number of pages: 37 Posted: 18 Nov 2022
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 57 (795,474)

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Stackelberg differential game, Insurance, Ambiguity, Expected-value premium principle, Random time horizon

19.

Purchasing Term Life Insurance to Reach a Bequest Goal While Consuming

SIAM Journal on Finance, Forthcoming
Number of pages: 31 Posted: 02 Mar 2016
Erhan Bayraktar, S. D. Promislow and V.R. Young
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 57 (795,474)
Citation 1

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

20.

Equilibrium Loss Reporting for a Risk-Averse Insured of Deductible Insurance

Number of pages: 24 Posted: 23 Aug 2023
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 54 (816,972)

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moral hazard, underreporting losses, deductible insurance, bonus-malus system, Nash equilibrium

21.

Optimal Consumption under a Habit-Formation Constraint: The Deterministic Case

Number of pages: 43 Posted: 31 Oct 2022
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
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 52 (831,980)

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

22.

Optimal Insurance to Maximize Exponential Utility When Premium is Computed by a Convex Functional

Forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 12 Posted: 13 Feb 2024
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 48 (863,710)
Citation 2

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Optimal insurance, numerical algorithm, convex premium functional

23.

Optimal Consumption Under a Habit-Formation Constraint

Number of pages: 35 Posted: 12 May 2021 Last Revised: 02 Aug 2022
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
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 40 (934,536)

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

24.

Optimal Investment and Consumption under a Habit-Formation Constraint

“Optimal Investment and Consumption under a Habit-Formation Constraint,” with Erhan Bayraktar and Virginia Young, SIAM Journal on Financial Mathematics, 13(1):321–352, 2022.
Number of pages: 31 Posted: 01 Nov 2022
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
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 38 (953,989)

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Optimal investment and consumption, habit formation, habit persistence, average past consumption, stochastic control, free-boundary problem

25.

Continuous-Time Optimal Reporting with Full Insurance under the Mean-Variance Criterion

Insurance: Mathematics and Economics
Number of pages: 31 Posted: 20 Dec 2024
Jingyi Cao, Dongchen Li, V.R. Young and Bin Zou
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 35 (984,137)
Citation 1

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JEL classification: C61, G22 barrier strategies, insurance, loss reporting, mean-variance,

26.

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 33 (1,005,071)

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

27.

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
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
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 33 (1,005,071)

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

28.

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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