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Virginia R. Young · Study

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Virginia R. Young

38 works· latest 2021· 2 institutionscluster: provisionalORCID 0000-0003-0407-5360

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Citations3,153

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Most cited in this library

Axiomatic characterization of insurance prices1997 · 535 citations
Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift2005 · 308 citations
Annuitization and asset allocation2007 · 272 citations
Ordering risks: Expected utility theory versus Yaari's dual theory of risk1998 · 170 citations
Optimal insurance under Wang’s premium principle1999 · 156 citations

Works

38 shown

Stackelberg differential game for reinsurance: Mean-variance framework and random horizon

Insurance Mathematics and Economics·2021·2 authors

47citations

Minimizing the probability of ruin: Optimal per-loss reinsurance

Insurance Mathematics and Economics·2018·2 authors

50citations

Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon

SIAM Journal on Financial Mathematics·2018·4 authors

43citations

Optimality of excess-loss reinsurance under a mean–variance criterion

Insurance Mathematics and Economics·2017·3 authors

44citations

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

European Finance Review·2016·3 authors

36citations

Purchasing life insurance to reach a bequest goal

Insurance Mathematics and Economics·2014·3 authors·Open access

18citations

Optimal commutable annuities to minimize the probability of lifetime ruin

Insurance Mathematics and Economics·2011·2 authors

33citations

Proving regularity of the minimal probability of ruin via a game of stopping and control

Finance and Stochastics·2011·2 authors

38citations

Optimal investment strategy to minimize occupation time

Annals of Operations Research·2008·2 authors

31citations

Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities

Journal of Economic Dynamics and Control·2008·4 authors·Open access

58citations

Pricing options in incomplete equity markets via the instantaneous Sharpe ratio

Annals of Finance·2007·2 authors

38citations

Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio

Insurance Mathematics and Economics·2007·1 author

36citations

Correspondence between lifetime minimum wealth and utility of consumption

Finance and Stochastics·2007·2 authors·other

40citations

Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates

Insurance Mathematics and Economics·2007·2 authors

30citations

Annuitization and asset allocation

Journal of Economic Dynamics and Control·2007·2 authors

272citations

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

Journal of Risk & Insurance·2006·3 authors

78citations

Minimizing the probability of lifetime ruin under borrowing constraints

Insurance Mathematics and Economics·2006·2 authors

61citations

Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement

North American Actuarial Journal·2006·2 authors

32citations

ASSET ALLOCATION AND ANNUITY‐PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN

Mathematical Finance·2006·3 authors

97citations

Hedging life insurance with pure endowments

Insurance Mathematics and Economics·2006·2 authors

35citations

The timing of annuitization: Investment dominance and mortality risk

Insurance Mathematics and Economics·2006·2 authors

46citations

Optimal insurance in a continuous-time model

Insurance Mathematics and Economics·2006·2 authors

65citations

Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift

North American Actuarial Journal·2005·2 authors

308citations

Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin

North American Actuarial Journal·2004·1 author

121citations

Premium Principles

Encyclopedia of Actuarial Science·2004·1 author·other

80citations

PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE

Mathematical Finance·2004·1 author·Open access

41citations

Pricing equity-linked pure endowments via the principle of equivalent utility

Insurance Mathematics and Economics·2003·2 authors

34citations

Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility

Scandinavian Actuarial Journal·2002·2 authors

93citations

Optimal Asset Allocation and The Real Option to Delay Annuitization: It’s Not Now-or-Never

OpenGrey (Institut de l'Information Scientifique et Technique)·2002·2 authors

55citations

Case Studies Using Panel Data Models

North American Actuarial Journal·2001·3 authors

90citations

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

SSRN Electronic Journal·2001·2 authors·preprint·Open access

25citations

Comonotonicity and maximal stop-loss premiums

Lirias·2000·3 authors·Open access

48citations

Optimal insurance under Wang’s premium principle

Insurance Mathematics and Economics·1999·1 author

156citations

A longitudinal data analysis interpretation of credibility models

Insurance Mathematics and Economics·1999·3 authors

113citations

Families of update rules for non-additive measures: Applications in pricing risks

Insurance Mathematics and Economics·1998·1 author

13citations

Risk-adjusted credibility premiums using distorted probabilities

Scandinavian Actuarial Journal·1998·2 authors

43citations

Ordering risks: Expected utility theory versus Yaari's dual theory of risk

Insurance Mathematics and Economics·1998·2 authors

170citations

Axiomatic characterization of insurance prices

Insurance Mathematics and Economics·1997·3 authors

535citations