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

21

DOWNLOADS
Rank 25,393

SSRN RANKINGS

Top 25,393

in Total Papers Downloads

2,452

SSRN CITATIONS
Rank 7,312

SSRN RANKINGS

Top 7,312

in Total Papers Citations

32

CROSSREF CITATIONS

150

Scholarly Papers (21)

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 1,025 (27,181)
Citation 24

Abstract:

Loading...

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 University - Department of Mathematics and Statistics, York University - Schulich School of Business and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 476 (75,228)
Citation 2

Abstract:

Loading...

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 192 (196,448)
Citation 1

Abstract:

Loading...

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 170 (218,485)
Citation 11

Abstract:

Loading...

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 129 (273,045)

Abstract:

Loading...

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 114 (298,702)

Abstract:

Loading...

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 73 (395,091)
Citation 1

Abstract:

Loading...

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

8.

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 39 (524,385)

Abstract:

Loading...

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

9.

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 35 (544,465)
Citation 1

Abstract:

Loading...

Optimal investment, stochastic optimal control, probability of drawdown

10.

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 34 (549,777)
Citation 5

Abstract:

Loading...

Bequest motive, consumption, optimal investment, stochastic control

11.

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 29 (577,752)
Citation 3

Abstract:

Loading...

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

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 29 (577,752)
Citation 1

Abstract:

Loading...

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

13.

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 23 (616,364)
Citation 10
  • Add to Cart

Abstract:

Loading...

14.

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 17 (658,804)
Citation 2
  • Add to Cart

Abstract:

Loading...

15.

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 (666,013)
Citation 1
  • Add to Cart

Abstract:

Loading...

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 15 (673,545)

Abstract:

Loading...

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

17.

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 14 (681,130)

Abstract:

Loading...

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

18.

Optimal Consumption Under a Habit-Formation Constraint

Number of pages: 35 Posted: 12 May 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 10 (712,169)

Abstract:

Loading...

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

19.

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 (720,100)

Abstract:

Loading...

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

20.

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 (767,279)
  • Add to Cart

Abstract:

Loading...

21.

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

Abstract:

Loading...