Virginia R. Young

Publication Activity (10 Years)

Years Active: 1996-2024
Publications (10 Years): 15

Top Topics

Exponential Size

Dynamic Programming

Asymptotic Analysis

Top Venues

SIAM J. Financial Math.

J. Appl. Probab.

J. Optim. Theory Appl.

SIAM J. Control. Optim.

Publications

Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional. SIAM J. Financial Math. 15 (1) (2024)
Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou
Reinsurance games with two reinsurers: Tree versus chain. Eur. J. Oper. Res. 310 (2) (2023)
Prakash Chakraborty, Asaf Cohen, Virginia R. Young
Optimal Dividends Under Model Uncertainty. SIAM J. Financial Math. 14 (2) (2023)
Xiaoqing Liang, Virginia R. Young
Optimal proportional reinsurance to maximize an insurer's exponential utility under unobservable drift. J. Appl. Probab. 60 (3) (2023)
Pablo Azcue, Xiaoqing Liang, Nora Muler, Virginia R. Young
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis. SIAM J. Financial Math. 14 (1) (2023)
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case. SIAM J. Financial Math. 14 (2) (2023)
Xiaoqing Liang, Virginia R. Young
Discounted probability of exponential parisian ruin: Diffusion approximation. J. Appl. Probab. 59 (1) (2022)
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
Optimal Investment and Consumption under a Habit-Formation Constraint. SIAM J. Financial Math. 13 (1) (2022)
Asaf Cohen, Virginia R. Young
Optimal Dividend Problem: Asymptotic Analysis. SIAM J. Financial Math. 12 (1) (2021)
Xiaoqing Liang, Virginia R. Young
Minimizing the Probability of Lifetime Exponential Parisian Ruin. J. Optim. Theory Appl. 184 (3) (2020)
Xiaoqing Liang, Virginia R. Young
Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance. SIAM J. Control. Optim. 58 (2) (2020)
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates. SIAM J. Financial Math. 10 (2) (2019)
Zhibin Liang, Virginia R. Young
Optimal dividends with an affine penalty. J. Appl. Math. Comput. 60 (1-2) (2019)
David Landriault, Bin Li, Danping Li, Virginia R. Young
Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon. SIAM J. Financial Math. 9 (3) (2018)
Erhan Bayraktar, S. David Promislow, Virginia R. Young
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming. SIAM J. Financial Math. 7 (1) (2016)
Erhan Bayraktar, Virginia R. Young
Proving regularity of the minimal probability of ruin via a game of stopping and control. Finance Stochastics 15 (4) (2011)
Erhan Bayraktar, Virginia R. Young
Optimal investment strategy to minimize occupation time. Ann. Oper. Res. 176 (1) (2010)
Erhan Bayraktar, Virginia R. Young
Correspondence between lifetime minimum wealth and utility of consumption. Finance Stochastics 11 (2) (2007)
S. David Promislow, Virginia R. Young
Supermodular Functions on Finite Lattices. Order 22 (4) (2005)
S. David Promislow, Virginia R. Young
Decomposition properties of dual choice functionals. Soc. Choice Welf. 20 (2) (2003)
Virginia R. Young, Shaun S. Wang
Updating non-additive measures with fuzzy information. Fuzzy Sets Syst. 94 (3) (1998)
Virginia R. Young
Fuzzy subsethood. Fuzzy Sets Syst. 77 (3) (1996)