Publications

Selected Publications

(See my full publications for more details)

(1) Risk Management & Actuarial Science:

• Yong, Y., Cheung, K.C. and Zhang, Y. (2024). Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery. ASTIN Bulletin: The Journal of the IAA, accepted on June 2024.

• Zhang, Y. (2024). Stochastic orders and distortion risk contribution ratio measures. Insurance: Mathematics and Economics, accepted on June 2024.

• Pu, T., Zhang, Y.F. and Zhang, Y. (2024). On joint marginal expected shortfall and associated contribution risk measures. Quantitative Finance, accepted on May 2024.

• Wen, L., Liu, W. and Zhang, Y. (2024). Multidimensional credibility: A new approach based on joint distribution function. ASTIN Bulletin: The Journal of the IAA, accepted on March 2024.

• Chen, Y., Cheung, K.C. and Zhang, Y. (2024). Bowley solution under the reinsurer's default risk. Insurance: Mathematics and Economics, 115, 36-61. 

• Yong, Y., Zeng, P. and Zhang, Y. (2023). Credibility theory for variance premium principle. North American Actuarial Journal, Accepted.

• Chen, Y., Jiang, W. and Zhang, Y. (2023). Mean-variance insurance design under heterogeneous beliefs. The Journal of Risk, 26(2), 105-132.

• Liang, X., Jiang, W. and Zhang, Y. (2023). Optimal insurance design under mean-variance preference with narrow framing. Insurance: Mathematics and Economics, 112, 59-79.

• Zhang, J., Yan, R. and Zhang, Y.  (2023). Stochastic comparisons of largest claim amounts from heterogeneous and dependent insurance portfolios. Journal of Computational and Applied Mathematics, 431, 115265.

• Dhaene, J., Laeven, R.J.A. and Zhang, Y. (2022). Systemic risk: Conditional distortion risk measures. Insurance: Mathematics and Economics, 102, 126-145.

• Boonen, T.J. and Zhang, Y. (2022). Bowley reinsurance with asymmetric information: A first-best solution. Scandinavian Actuarial Journal,  2022(6), 532-551.

• Cheung, K.C., Yam, S.C.P. and Zhang, Y. (2022). Satisficing credibility for heterogeneous risks. European Journal of Operational Research, 298(2), 752-768. 

• Boonen, T.J. and Zhang, Y. (2021). Optimal reinsurance design with distortion risk measures and asymmetric information. ASTIN Bulletin: The Journal of the IAA, 51(2), 607-629.

• Zhang, Y. (2021). On transform orders for largest claim amounts. Journal of Applied Probability, 58(4), 1064-1085.

• Xu, M. and Zhang, Y. (2021). Data breach CAT bonds: Modeling and pricing. North American Actuarial Journal, 25(4), 543-561.

• Boonen, T.J., Cheung, K.C. and Zhang, Y. (2021). Bowley reinsurance with asymmetric information on the insurer's risk preferences. Scandinavian Actuarial Journal, 2021(7), 623-644.

• Zhang, Y. and Cheung, K.C. (2020). On the increasing convex order of generalized aggregation of dependent random variables. Insurance: Mathematics and Economics, 92, 61-69.

• Cheung, K.C., Yam, S.C.P., Yuen, F.L. and Zhang, Y. (2020). Concave distortion risk minimizing reinsurance design under adverse selection. Insurance: Mathematics and Economics, 91, 155-165.

• Cheung, K.C., Yam, S.C.P. and Zhang, Y. (2019). Risk-adjusted Bowley reinsurance under distorted probabilities. Insurance: Mathematics and Economics, 86, 64-72.

• Zhang, Y., Cai, X. and Zhao, P. (2019). Ordering properties of extreme claim amounts from heterogeneous portfolios. ASTIN Bulletin: The Journal of the IAA, 49(2), 525-554.

• Zhang, Y., Zhao, P. and Cheung, K.C. (2019). Comparisons of aggregate claim numbers and amounts: A study of heterogeneity. Scandinavian Actuarial Journal,  2019(4), 273-290.

• Zhang, Y., Li, X. and Cheung, K.C. (2018). On heterogeneity in the individual model with both dependent claim occurrences and severities. ASTIN Bulletin: The Journal of the IAA, 48(2), 817-839. 

• Balakrishnan, N., Zhang, Y. and Zhao, P. (2018). Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios. Scandinavian Actuarial Journal, 2018(1), 23-41. 

• Zhang, Y. and Zhao, P.  (2015). Comparisons on aggregate risks from two sets of heterogeneous portfolios. Insurance: Mathematics and Economics, 65, 124-135. 

(2) Applied Probability & Reliability Theory and Statistics:

• Ding, W., Li, J. and Zhang, Y. (2023). Criticality-based allocation of active redundancies for
  asymmetric components in coherent systems. Computers & Industrial Engineering, 183, 109467.

• Zhang, J. and Zhang, Y. (2023). Stochastic comparisons of relevation allocation policies in coherent systems. TEST, 32, 865-907

• Zhang, Y. (2022). Stochastic comparisons of conditional residual lifetimes with applications. Quality Technology & Quantitative Management, Accepted on October, 2022.

• Zhang, J. and Zhang, Y. (2022). A copula-based approach on optimal allocation of hot standbys in series systems. Naval Research Logistics, 69(6), 902-913. 

• Wu, J., Ding, W., Zhang, Y. and Zhao, P. (2022). On reliability improvement for coherent systems with a relevation. Naval Research Logistics, 69(4), 654-666.

• Sun, H., Zhang, Y. and Zhao, P. (2022). Allocating hot standbys to randomly weighted k-out-of-n: G systems. Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability, 236(1), 37-54.

• Yan, R., Zhang, J. and Zhang, Y. (2021). Optimal allocation of relevations in coherent systems. Journal of Applied Probability, 58(4), 1152-1169.

• Zhang, Y.  (2021). Reliability analysis of randomly weighted k-out-of-n systems with heterogeneous components. Reliability Engineering & System Safety, 205, 107814.

• Zhang, Y. and Zhao, P. (2019). Optimal allocation of minimal repairs in parallel and series systems. Naval Research Logistics, 66(6), 517-526.

• Zhang, Y., Ding, W. and Zhao, P. (2018). On total capacity of k-out-of-n systems with random weights. Naval Research Logistics, 65, 347-359.

• Amini-Seresht, E., Zhang, Y. and Balakrishnan, N. (2018). Stochastic comparisons of coherent systems under different random environments. Journal of Applied Probability, 55(2), 459-472. 

• Zhao, P., Zhang, Y. and Chen, J. (2017). Optimal allocation policy of one redundancy in a n-component series system. European Journal of Operational Research, 257(2), 656-668. 

• Zhao, P., Zhang, Y. and Li, L. (2015). Redundancy allocation at component level versus system level. European Journal of Operational Research, 241(2), 402-411. 

• Zhao, P. and Zhang, Y. (2012). On sample ranges in multiple-outlier models. Journal of Multivariate Analysis, 111, 335-349.