Optimal Reinsurance Design under Ambiguity and Value-at-Risk Preference with Wasserstein and Alternative Metrics (with Heng Xiong and Xiangying Mao), North American Actuarial Journal, forthcoming, 2025.
Pareto-optimal insurance under robust distortion risk measures (with Tim Boonen), European Journal of Operational Research, Vol 324(2): 690-705, 2025.
Optimal insurance design in the presence of disaster financial assistance and subsidies (with Tim Boonen, Yaodi Yong and Yiying Zhang), Scandinavian Actuarial Journal, forthcoming, 2025.
Bowley solution of a variance game in insurance (with Xiaoqing Liang and Virginia Young), Scandinavian Actuarial Journal, forthcoming, 2025.
Distributionally robust insurance under the Wasserstein distance (with Tim Boonen), Insurance: Mathematics and Economics, Vol 120: 61-78, 2025.
Robust insurance design with distortion risk measures (with Tim Boonen), European Journal of Operational Research, Vol 316(2): 694-706, 2024.
Bowley insurance with expected utility maximization of the policyholders (with Tim Boonen), North American Actuarial Journal, Vol 28(2): 407-425, 2024.
A novel perspective on forecasting non-ferrous metals’ volatility: integrating deep learning techniques with econometric models (with Qi Shu, Heng Xiong and Rogemar Mamon), Finance Research Letters, Vol 58, 104482, 2023.
Mean-variance insurance design under heterogeneous beliefs (with Yanhong Chen and Yiying Zhang), Journal of Risk, Vol 26(2): 105-132, 2023.
Optimal insurance design under mean-variance preference with narrow framing (with Xiaoqing Liang and Yiying Zhang), Insurance: Mathematics and Economics, Vol 112: 59-79, 2023.
Pareto-optimal Reinsurance with Default Risk and Solvency Regulation (with Tim Boonen), Probability in the Engineering and Informational Sciences, Vol 37(2): 518-545, 2023.
Optimal insurance for a prudent decision maker under heterogeneous beliefs (with Mario Ghossoub and Jiandong Ren), European Actuarial Journal, Vol 13: 703-730, 2023.
Bilateral risk sharing in a comonotone market with rank-dependent utilities (with Tim Boonen), Insurance: Mathematics and Economics, Vol 107: 361-378, 2022.
Pareto-optimal reinsurance under individual risk constraints (with Mario Ghossoub and Jiandong Ren), Insurance: Mathematics and Economics, Vol 107: 307-325, 2022.
Evaluating the tail risks of multivariate aggregate losses (with Jiandong Ren), ASTIN Bulletin, Vol 52(3): 921-952, 2022.
A marginal indemnity function approach to optimal reinsurance under the Vajda condition (with Tim Boonen), European Journal of Operational Research, Vol 303(2): 928-944, 2022.
Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation (with Zhihang Liang and Jushen Zou), Insurance: Mathematics and Economics, Vol 104: 200-221, 2022.
Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility, Scandinavian Actuarial Journal, 2022(9): 775-793, 2022.
Mean-variance insurance design with counterparty risk and incentive compatibility (with Tim Boonen), ASTIN Bulletin, Vol 52(2): 645-667, 2022.
The effect of risk constraints on the optimal insurance policy (with Jiandong Ren), European Actuarial Journal, 12: 529-558, 2022.
Statistical assessment of spatial tornado occurrence for Canada: modelling and estimation (with Qian Huang and Hanping Hong), Journal of Applied Meteorology and Climatology, Vol 60(12): 1633-1651, 2021.
Pareto-optimal reinsurance policies with maximal synergy (with Jiandong Ren and Hanping Hong), Insurance: Mathematics and Economics, Vol 96: 185-198, 2021.
Tornado wind hazard mapping and equivalent tornado design wind profile for Canada (with Hanping Hong, Qian Huang, Qian Tang and P. Jarrett), Structural Safety, Vol 91, 102078, 2021.
Development of a simple equivalent tornado wind profile for structural design and evaluation (with Qian Huang and Hanping Hong), Journal of Wind Engineering & Industrial Aerodynamics, Vol 213, 104602, 2021.
Design of optimal insurance contracts under distortion risk measure with ambiguity aversion (with Jiandong Ren and Marcos Escobar), ASTIN Bulletin, Vol 50(2): 619-646, 2020.
On optimal reinsurance treaties in cooperative game under heterogeneous beliefs (with Jiandong Ren, Chen Yang and Hanping Hong), Insurance: Mathematics and Economics, Vol 85: 173-184, 2019.
Estimation of model parameters of dependent processes constructed using Levy Copula (with Hanping Hong and Jiandong Ren), Communications in Statistics–Simulation and Computation, Vol 50 (3): 691-707, 2019.
Clustering of Financial Instruments Using Jump Tail Dependence Coefficient (with Chen Yang, Jiang Wu, Xin Liu and Zhichuan Li), Statistical Methods and Applications, Vol 27(3): 491-513, 2018.
A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection (with Xin Liu, Chen Yang and Jiang Wu), Risks, Vol 6(4): 115-130, 2018.
On Pareto-optimal reinsurance with constraints under distortion risk measures (with Jiandong Ren and Hanping Hong), European Actuarial Journal, Vol 8(1): 215-243, 2018.
Optimal reinsurance policies when the interests of both the cedent and the reinsurer are taken into account (with Jiandong Ren and Ricardas Zitikis), Risks, Vol 5(1): 11-32, 2017.
Optimal insurance under rank dependent utility: prudence and incentive compatibility, working paper.
Revisiting the optimal insurance design under adverse selection and Value-at-Risk (with Yiying Zhang), working paper.
Sowing Precision: A Hybrid Econometric-Machine Learning Framework for Agricultural Yield Forecasting (with Runqiu Xu and Heng Xiong), submitted.
Optimal reinsurance design under the moment-based premium principle: a representative reinsurer's perspective (with Tim Boonen and Yiying Zhang), R&R.
Optimal insurance design under distortion risk measures with variance constraint (with Wei Wang, Tim Boonen and Yiying Zhang), R&R.
Optimal reinsurance design under convex premium principles and distortion risk measures (with Yiying Zhang), R&R.
Coordinating premium subsidies and relief payments in catastrophe insurance markets (with Yaodi Yong, Tim Boonen and Yiying Zhang), under revision.
Robust insurance design under the preference uncertainty (with Tim Boonen), submitted.
Revisiting the role of prevention measures in optimal insurance contracting (with Zhonghao Zhang and Heng Xiong), submitted.
2023 May, BIRS two-day workshop on "Stochastic Modelling of Big Data in Finance, Insurance and Energy Markets", Banff, Canada. Talk: "Revisiting the optimal reinsurance design under adverse selection and Value-at-Risk".
2023 May, 2023 Annual Meeting of Statistical Society of Canada, Ottawa, Canada. Talk:"Distributionally robust insurance with the Wasserstein distance".
2023 Jul, Department seminar at Wuhan University, Wuhan, China,. Talk: "Revisiting the optimal reinsurance design under adverse selection and Value-at-Risk''.
2023 Jul, 2023 International Conference on Actuarial Science, Quantitative Finance and Risk Management, Beijing, China. Talk: "Revisiting the VaR-based optimal reinsurance design under adverse selection".
2023 Jul, 2023 China international conference on insurance and risk management, Guangzhou, China. Talk: "Revisiting the optimal reinsurance design under adverse selection and Value-at-Risk''.
2023 Jul, Department seminar at Southern University of Science and Technology, Shenzhen, China. Talk: "Distributionally robust insurance within the $L^2$ ball".
2024 Jun, Department seminar at Southern University of Science and Technology, Shenzhen, China. Talk: "Pareto-optimal insurance under robust distortion risk measures".
2024 Jul, The 3rd Conference on Financial Mathematics, Financial Engineering, and Actuarial Science, Chengdu, China. Talk: "Optimal reinsurance design under the moment-based premium principles: a representative reinsurer's perspective".
2024 Jul, The 2nd International Conference on Actuarial Science, Quantitative Finance and Risk Management, Beijing, China. Talk: "Pareto-optimal insurance under robust distortion risk measures".
2024 Jul, The 7th International Conference on Econometrics and Statistics, Beijing, China. Talk: "Distributionally robust insurance under the Wasserstein distance".
2024 Nov, Department seminar of University of Nebraska-Lincoln, Lincoln, Nebraska, USA. Talk: "Revisiting the design of insurance under adverse selection".
2024 Dec, Department seminar at Southern University of Science and Technology, Shenzhen, China. Talk: "Optimal reinsurance design under the moment-based premium principles: a representative reinsurer's perspective".
2025 Feb, Department seminar of University of Waterloo, Waterloo, Canada. Talk: "Pareto-efficient insurance under model uncertainty".
2025 Mar, Department seminar of University of Connecticut, online. Talk: "Revisiting the design of reinsurance menu under information asymmetry".
2025 Jul, 2025 International Workshop on Risk Sharing, Beijing, China. Talk: "The role of premium subsidies and relief payments in catastrophe insurance contracting".
2025 Jul, The 3rd International Conference on Actuarial Science, Quantitative Finance and Risk Management, Beijing, China. Talk: "Revisiting the role of prevention measures in optimal insurance contracting".
Insurance: Mathematics and Economics, ASTIN Bulletin, North American Actuarial Journal, Finance and Stochastics, European Actuarial Journal, Methodology and Computing in Applied Probability, Risks, Communications in Statistics--Theory and Methods, Journal of Applied Mathematics and Computing, Optimization, Computational and Applied Mathematics, Applied Mathematics and Computation, IMA Journal of Management Mathematics, Reliability Engineering and System Safety, Applied Stochastic Models in Business and Industry, Journal of Risk and Financial Management, Mathematics, PLOS ONE, Annals of Finance, Applied Economics, International Journal of Financial Studies, Asia-Pacific Journal of Risk and Insurance, Finance Research Letters, International Review of Financial Analysis
NSERC Alliance Grant, NSERC Individual Discovery Grant