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Stackelberg reinsurance chain under model ambiguity
Cao, Jingyi; Li, Dongchen; Young, Virginia R.; Zou, Bin - In: Scandinavian actuarial journal 2024 (2024) 4, pp. 329-360
Persistent link: https://www.econbiz.de/10014520548
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Approximating the classical risk process by stable Lévy motion
Cao, Jingyi; Young, Virginia R. - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 679-707
Persistent link: https://www.econbiz.de/10014383892
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Systemic risk and optimal fee for central clearing counterparty under partial netting
Cui, Zhenyu; Feng, Qi; Hu, Ruimeng; Zou, Bin - In: Operations research letters 46 (2018) 3, pp. 306-311
Persistent link: https://www.econbiz.de/10011873375
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Optimal risk sharing under distorted probabilities
Ludkovski, Michael; Young, Virginia R. - In: Mathematics and financial economics 2 (2009) 2, pp. 87-105
Persistent link: https://www.econbiz.de/10003871600
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Minimizing the probability of ruin : optimal per-loss reinsurance
Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 82 (2018), pp. 181-190
Persistent link: https://www.econbiz.de/10011929867
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Lifetime ruin under ambiguous hazard rate
Young, Virginia R.; Zhang, Yuchong - In: Insurance / Mathematics & economics 70 (2016), pp. 125-134
Persistent link: https://www.econbiz.de/10011597201
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Hedging pure endowments with mortality derivatives
Wang, Ting; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 238-255
Persistent link: https://www.econbiz.de/10011533915
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Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
Liang, Xiaoqing; Liang, Zhibin; Young, Virginia R. - In: Insurance / Mathematics & economics 92 (2020), pp. 128-146
Persistent link: https://www.econbiz.de/10012242047
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Minimizing the probability of lifetime ruin : two riskless assets with transaction costs
Liang, Xiaoqing; Young, Virginia R. - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 847-883
Persistent link: https://www.econbiz.de/10012125302
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Reaching a bequest goal with life insurance : ambiguity about the risky asset's drift and mortality's hazard rate
Liang, Xiaoqing; Young, Virginia R. - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 187-221
Persistent link: https://www.econbiz.de/10012194122