Publications:

1. Efficiency in Pure-Exchange Economies with Risk-Averse Monetary Utilities (with Michael B. Zhu) - Mathematical Finance, Forthcoming. [arXiv]

2. Counter-Monotonic Risk Allocations and Distortion Risk Measures (with Qinghua Ren and Ruodu Wang) - Scandinavian Actuarial Journal, Forthcoming. [arXiv]

3. Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures (with Michael B. Zhu and Alfred Chong) - ASTIN Bulletin, Forthcoming. [arXiv]

4. The Multiarmed Bandit Problem Under the Mean-Variance Setting (with Hongda Hu, Arthur Charpentier, and Alexander Schied) - European Journal of Operational Research, 324(1):168-182, 2025. - [arXiv]

5. Risk-Constrained Portfolio Choice under Rank-Dependent Utility  (with Michael B. Zhu) - Finance and Stochastics, 29(2):399-442, 2025. [SSRN]

6. Bowley-Optimal Convex-Loaded Premium Principles (with Bin Li and Benxuan Shi) - Insurance: Mathematics and Economic, 121(1):157-180, 2025. [SSRN]

7. Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance (with Michel Denuit, Jan Dhaene, and Christian Robert)  - Insurance: Mathematics and Economics, 120(1):1-16, 2025. [SSRN]

8. (No-)Betting Pareto Optima under Rank-Dependent Utility (with Patrick Beissner and Tim Boonen) - Mathematics of Operations Research, 49(3):1452-1471, 2024. [SSRN]

9. Bounds on Choquet Risk Measures in Finite Product Spaces with Ambiguous Marginals (with David Saunders and Kelvin Shuangjian Zhang) - Statistics & Risk Modeling, 41(1-2): 49-72, 2024. [arXiv]

10. Pareto-Efficient Risk Sharing in Centralized Insurance Markets with Application to Flood Risk (with Alfred Chong and Tim Boonen) - Journal of Risk and Insurance,  91(2):449-488, 2024. [SSRN]

11. Stackelberg Equilibria with Multiple Policyholders  (with Michael B. Zhu) - Insurance: Mathematics and Economics,  116(1):189-201, 2024. [SSRN]

12. Pareto-Optimal Insurance with an Upper Limit on the Insurer's Exposure (with Oma Coke and Michael B. Zhu) - Scandinavian Actuarial Journal, 2024(3):227-251, 2024. [SSRN]

13. Optimal Insurance for a Prudent Decision-Maker under Heterogeneous Beliefs (with Wenjun Jiang and Jiandong Ren) - European Actuarial Journal, 13(2):703-730, 2023. [SSRN]

14. Equilibria and Efficiency in a Reinsurance Market (with Michael B. Zhu and Tim Boonen) - Insurance: Mathematics and Economics, 113(1):24-49, 2023. [SSRN]

15. Maximum Spectral Measures of Risk with given Risk Factor Marginal Distributions (with Jesse Hall and David Saunders) - Mathematics of Operations Research, 48(2):1158-1182, 2023. [SSRN] [arXiv]

16. Optimal Insurance under Maxmin-Expected-Utility (with Corina Birghila and Tim Boonen) - Finance and Stochastics, 27(2):467-501, 2023. [SSRN]  [arXiv]

17. Bowley vs. Pareto Optima in Reinsurance Contracting (with Tim Boonen) - European Journal of Operational Research, 307(1):382-391, 2023. [SSRN]

18. Pareto-Optimal Reinsurance under Individual Risk Constraints (with Wenjun Jiang and Jiandong Ren) - Insurance: Mathematics and Economics, 107:307-325, 2022. [SSRN]

19. Aggregation of Opinions and Risk Measures (with Massimiliano Amarante) - Journal of Economic Theory, 196:105310, 2021. [SSRN]

20. On the Continuity of the Feasible Set Mapping in Optimal Transport (with David Saunders) - Economic Theory Bulletin, 9:113-117, 2021. [SSRN]  [arXiv]

21. Comparative Risk Aversion in RDEU with Applications to Optimal Underwriting of Securities Issuance (with Xuedong He) - Insurance: Mathematics and Economics, 101(1):6-22, 2021. [SSRN]

22. Optimal Reinsurance with Multiple Reinsurers: Distortion Risk Measures, Distortion Premium Principles, and Heterogeneous Beliefs (with Tim Boonen) - Insurance: Mathematics and Economics, 101(1):23-37, 2021. [SSRN]

23. Bilateral Risk Sharing with Heterogeneous Beliefs and Exposure Constraints (with Tim Boonen), ASTIN Bulletin, 50(1):293-323, 2020. [SSRN]

24. Budget-Constrained Optimal Retention with an Upper Limit on the Retained Loss, Scandinavian Actuarial Journal, 2020(3):245-271, 2020. [SSRN]

25. Budget-Constrained Optimal Insurance with Belief Heterogeneity, Insurance: Mathematics and Economics, 89(1):79-91, 2019. [SSRN]

26. On the Existence of a Representative Reinsurer under Heterogeneous Beliefs (with Tim Boonen), Insurance: Mathematics and Economics, 88(1):209-225, 2019. [SSRN]

27. Optimal Insurance under Rank-Dependent Expected Utility, Insurance: Mathematics and Economics, 87(1):51-66, 2019. [SSRN]

28. Budget-Constrained Optimal Insurance Without the Nonnegativity Constraint on Indemnities, Insurance: Mathematics and Economics, 84(1):22-39, 2019. [SSRN]

29. A Neyman-Pearson Problem with Ambiguity and Nonlinear Pricing, Mathematics and Financial Economics, 12(3):365-385, 2018. [SSRN]

30. Contracting on Ambiguous Prospects (with Massimiliano Amarante and Edmund S. Phelps), The Economic Journal, 127(606):2241-2262, 2017.

31. Arrow's Theorem of the Deductible with Heterogeneous Beliefs, The North American Actuarial Journal, 21(1):15-35, 2017. [SSRN]

32. Optimal Insurance with Heterogeneous Beliefs and Disagreement about Zero-Probability Events, Risks, 4(3):29, 2016. [SSRN]

33. Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer (with Massimiliano Amarante), Risks, 4(1):8, 2016. [SSRN]

34. Cost-Efficient Contingent Claims with Market Frictions, Mathematics and Financial Economics, 10(1):87-111, 2016. [SSRN]

35. Equimeasurable Rearrangements with Capacities, Mathematics of Operations Research, 40(2):429-445, 2015. [SSRN]

36. Vigilant Measures of Risk and the Demand for Contingent Claims, Insurance: Mathematics and Economics, 61(1):27-35, 2015. [SSRN]

37. Ambiguity on the Insurer's Side: The Demand for Insurance (with Massimiliano Amarante and Edmund S. Phelps), Journal of Mathematical Economics, 58:71-78, 2015. [SSRN]

38. Static Portfolio Choice under Cumulative Prospect Theory (with C. Bernard), Mathematics and Financial Economics, 2(4):277-306, 2010. [SSRN]

Other Publications:

• On Subsidies, Tariffs, and Wholesale Madness, in Debating Globalization: International Perspectives on the Global Economic and Social Order, J.M. Balonze (ed.) - GYAN France, Editions Biliki (2006)

Working Papers:

1. Subgame Perfect Nash Equilibria in Large Reinsurance Markets (with Maria Andraos and Michael B. Zhu) - [arXiv]

2. Optimal Insurance in a Monopoly: Dual Utilities with Hidden Risk Attitudes (with Bin Li and Benxuan Shi) - [arXiv]

3. Counter-Monotonic Risk Sharing with Heterogeneous Distortion Risk Measures (with Qinghua Ren and Ruodu Wang) - [arXiv]

4. Allocation Mechanisms in Decentralized Exchange Markets with Frictions (with Giulio Principi and Ruodu Wang) - [arXiv]

5. A Nonlinear Sandwich Theorem (with Giulio Principi and Lorenzo M. Stanca) - [arXiv]

6. On Belief Singularity and the Optimality of Deductible Indemnity Schedules - [SSRN]

7. Loss Aversion for Decision under Risk (with Michael B. Zhu)

Research Pages:

• SSRN

• Google Scholar

• orcid.org/0000-0002-6718-783X