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

19

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CITATIONS
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65

Scholarly Papers (19)

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 689 (23,506)
Citation 15

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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 University, York University - Schulich School of Business and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 199 (59,990)

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

3.

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 124 (173,378)
Citation 3

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

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
Katholieke Universiteit Leuven - Faculty of Economics and Business, 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 92 (183,724)
Citation 13

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5.

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 56 (303,538)
Citation 1

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

6.

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 25 (398,354)
Citation 1

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

7.

Lifetime Ruin Under Uncertain Hazard Rate

Number of pages: 19 Posted: 13 Jun 2015
V.R. Young and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and Columbia University
Downloads 20 (259,657)

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

8.

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 20 (445,370)
Citation 7
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9.

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 16 (471,601)
Citation 6
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10.

Pricing in an Incomplete Market With an Affine Term Structure

Mathematical Finance, Vol. 14, No. 3, pp. 359-381, July 2004
Number of pages: 23 Posted: 10 Jul 2004
V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics
Downloads 15 (476,759)
Citation 9
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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 5 (450,592)

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Bequest motive, consumption, optimal investment, stochastic control

12.

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 (541,722)
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13.

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 Michigan at Ann Arbor - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 2 (517,820)

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

14.

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 0 (507,810)
Citation 1

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

15.

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 0 (531,749)

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

16.

Minimizing the Probability of Lifetime Drawdown Under Constant Consumption

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 21 May 2016
University of Michigan at Ann Arbor - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 0 (445,370)

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Optimal investment, stochastic optimal control, probability of drawdown

17.

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 0 (502,751)

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

18.

Optimal Investment to Minimize the Probability of Drawdown

Stochastics, Forthcoming
Number of pages: 15 Posted: 18 Feb 2016
University of Michigan at Ann Arbor - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 0 (255,820)
Citation 9

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Optimal investment, stochastic optimal control, probability of drawdown

19.

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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