Publications

Research Interest

• Optimal insurance/reinsurance design

• Risk measures

• Risk sharing and allocations 

• Market equilibria

• Model uncertainty

Refereed Publications

1. (2026) Performance-based variable premium scheme and reinsurance design. arXiv, DOI

Insurance: Mathematics & Economics, forthcoming. (with David Landriault, and Ziyue Shi) 

2. (2025) Elicitability and identifiability of tail risk measures. arXiv, DOI 

Mathematical Finance, forthcoming.  (with Tobias Fissler,  Ruodu Wang, and Linxiao Wei) 

3. (2025) Worst-case distortion risk measures of limited stop-loss transforms with uncertain distributions lying in Wasserstein balls. SSRN, DOI

ASTIN Bulletin, forthcoming. (with Jun Cai, and Mingren Yin) 

4. (2025) Worst-case reinsurance strategy with likelihood ratio uncertainty. SSRN, DOI

ASTIN Bulletin,  55(Special Issue 3: Risk Sharing), 492-513.  (with David Landriault, and Ziyue Shi) 

5. (2024) The optimal reinsurance strategy with price competition between two reinsurers. arXiv, DOI

Scandinavian Actuarial Journal, 2025(1): 51-78. (with Liyuan Lin, Jingzhen Liu, and Luyang Yu)

6. (2024) Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance. SSRN, DOI

European Journal of Operational Research, 318(1): 310-326. (with Jun Cai, Fangda Liu, and Mingren Yin) 

7. (2022) Insurance with heterogeneous preferences. SSRN, DOI

Journal of Mathematical Economics, 102: Article 102742. (with Tim J. Boonen)     

8. (2022) Inf-convolution and Optimal Allocations for Tail Risk Measures. SSRN, DOI

Mathematics of Operations Research, 47(3): 2494-2519. (with Linxiao Wei,  Tiantian Mao and Ruodu Wang)  

9. (2021) Enhancing the insurer's expected value by reinsurance and external financing. DOI

Insurance: Mathematics & Economics, 101(Part B, November 2021): 466-484. (with Yichun Chi)  

10.  (2021) Fourier-cosine method for finite-time ruin probabilities. SSRN, DOI

Insurance: Mathematics & Economics, 99: 256-267. (with Wing Yan Lee, Xiaolong Li, Yifan Shi and Sheung Chi Phillip Yam)  

11. (2021) A theory for measures of tail risk. SSRN, DOI

Mathematics of Operations Research, 46(3): 1109-1128. (with Ruodu Wang)  

12. (2021) Competitive equilibria in a comonotone market. SSRN, DOI

Economic Theory, 72: 1217–1255. (with Tim J. Boonen, and Ruodu Wang)  

13. (2020) Optimal insurance in the presence of multiple policyholders. SSRN, DOI

Journal of Economic Behavior & Organization, 18: 638-656. (with  Carole Bernard, and Steven Vanduffel)  

14. (2019) Convex risk functionals: representation and applications. SSRN, DOI

Insurance: Mathematics & Economics, 90:66-79.  (with Jun Cai, Christiane Lemieux and Ruodu Wang)  

15. (2017) Optimal insurance design in the presence of exclusion clauses. DOI

Insurance: Mathematics & Economics 76:185-195. (wih Yichun Chi)  

16. (2017) Analysis of a dynamic premium strategy: from theoretical and marketing perspective. DOI

Journal of Industrial and Management Optimization, 14(4):1545-1577.  (with Wing Yan Lee)  

17. (2016) Optimal reinsurance from the perspective of both an insurer and a reinsurer. DOI

ASTIN Bulletin, 46(2):815-849.  (with Jun Cai, and Christiane Lemieux)  

18. (2014) Optimal reinsurance with regulatory initial capital and default risk. DOI

Insurance: Mathematics & Economics, 57:13-24. (with Jun Cai, and Christiane Lemieux)  

19. (2012) Average Value-at-Risk minimizing reinsurance under Wang's premium principle with constraints. DOI

ASTIN Bulletin, 42(2):575-600. (with K.C. Cheung, and S.C.P. Yam)  

Preprints

1. (2025) On optimal reinsurance with reinsurer's risk limit under general premium principles. SSRN 

(with Yijun Hu and Linxiao Wei)