Publications

1. Mean-variance tradeoff of Bitcoin inverse futures (with Jun Deng, Huifeng Pan, and Shuyu Zhang, 2024). Blockchain, 2024(1), 0005. [Journal] [SSRN]

2. Strategic underreporting and optimal deductible insurance (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2024). ASTIN Bulletin, online first. [Journal] [ResearchGate] [PDF]

3. Optimal moral-hazard-free reinsurance under extended distortion premium principles (with Zhuo Jin and Zuo Quan Xu, 2024). SIAM Journal on Control and Optimization, 62(3), 1390-1416. [Journal] [ResearchGate] [arXiv] [PDF]

4. Optimal insurance to maximize exponential utility when premium is computed by a convex functional (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2024). SIAM Journal on Financial Mathematics, 15(1), SC15-27. [Journal] [RG] [SSRN] [arXiv]

5. Linear classifier models for binary classification (with Himchan Jeong, 2023). Variance, accepted. [ResearchGate] This is funded by the Casualty Actuarial Society 2022 Individual Grant.

6. Equilibrium reporting strategy: Two rate classes and full insurance (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2023). Journal of Risk and Insurance, online first. [Journal] [ResearchGate] [PDF]

7. Stackelberg reinsurance chain under model ambiguity (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2024). Scandinavian Actuarial Journal, 2024(4), 329-360. [Journal] [ResearchGate] [SSRN] [PDF]

8. Reinsurance games with n variance-premium reinsurers: From tree to chain (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2023). ASTIN Bulletin, 53(3), 706-728. [Journal] [PDF] [ResearchGate]

9. Reinsurance games with two reinsurers: Tree versus chain (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2023). European Journal of Operational Research, 310(2), 928-941. [Journal] [PDF] [SSRN]

10. Stackelberg differential game for insurance under model ambiguity: General divergence (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2023). Scandinavian Actuarial Journal, 2023(7), 735-763. [Journal] [PDF] [SSRN]

11. Hedging with automatic liquidation and leverage selection on bitcoin futures (with Carol Alexander and Jun Deng, 2023). European Journal of Operational Research, 306(1), 478-493. [Journal] (open access) [PDF] [SSRN] [arXiv] [ResearchGate]

12. Stackelberg differential game for insurance under model ambiguity (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2022). Insurance: Mathematics and Economics, 106, 128-145. [Journal] [PDF] [RG]

13. A dynamic credibility model with self-excitation and exponential decay (with Himchan Jeong, 2022). 2022 Winter Simulation Conference Proceedings, 3241-3250. [Journal] [PDF] [SSRN] [RG]

14. Cone-constrained monotone mean-variance portfolio selection under diffusion models (with Yang Shen, 2022). SIAM Journal on Financial Mathematics, 13(4), SC99-112. [Journal] [PDF] [arXiv] [RG]

15. Mean-variance portfolio selection in contagious markets (with Yang Shen, 2022). SIAM Journal on Financial Mathematics, 13(2), 391-425. [Journal] [PDF] [arXiv]

16. A perturbation approach to optimal investment, liability ratio, and dividend strategies (with Zhuo Jin and Zuo Quan Xu, 2022). Scandinavian Actuarial Journal, 2022(2), 165-188. [Journal] [PDF] [arXiv]

17. Optimal fee structure of variable annuities (with Gu Wang, 2021). Insurance: Mathematics and Economics, 101, 587-601. [Journal] [PDF] [SSRN]

18. Optimal bitcoin trading with inverse futures (with Jun Deng, Huifeng Pan and S. Zhang, 2021). Annals of Operations Research, 304(1), 139-163. [Journal] [PDF] [SSRN] [ResearchGate]

19. Optimal bookmaking (with Matthew Lorig and Zhou Zhou, 2021). European Journal of Operational Research, 295(2), 560-574. [Journal] [PDF] [ResearchGate] [SSRN] [arXiv]

20. Mean-variance investment and risk control strategies -- A time-consistent approach via a forward auxiliary process (with Yang Shen, 2021). Insurance: Mathematics and Economics, 97, 68-80. [PDF] [Journal] [ResearchGate] [arXiv]

21. Quadratic hedging for sequential claims with random weights in discrete time (with Jun Deng, 2021). Operations Research Letters, 49(2), 218-225. [PDF] [arXiv] [Journal]

22. Bond indifference prices (with Matthew Lorig, 2021). Quantitative Finance, 21(7), 1223-1233. [PDF] [ResearchGate] [SSRN] [Journal]

23. Minimum-variance hedging of bitcoin inverse futures (with Jun Deng, Huifeng Pan, and Shuyu Zhang, 2020). Applied Economics, 52(58), 6320-6337. [PDF] [SSRN] (Local PDF/SSRN have a better format than the published version) [Journal] 

24. A set-valued Markov chain approach to credit risk (with Dianfa Chen, Jun Deng, and Jianfen Feng, 2020). Quantitative Finance, 20(4), 669-689. [PDF] [Journal] [SSRN] 

25. A mathematical analysis of technical analysis (with Matthew Lorig and Zhou Zhou, 2019). Applied Mathematical Finance, 26(1), 38-68. [PDF] [Journal] [arXiv]

26. Systemic risk and optimal fee structure for central clearing counterparty under partial netting (with Zhenyu Cui, Qi Feng, and Ruimeng Hu, 2018). Operations Research Letters, 46(3), 306-311. [Journal] Full version: [SSRN] [PDF]

27. Optimal investment in hedge funds under loss aversion (2017). International Journal of Theoretical and Applied Finance, 20(3), 1750014, 2017. [Journal] [PDF]

28. Optimal investment with transaction costs under cumulative prospect theory in discrete time (with Rudi Zagst, 2017). Mathematics and Financial Economics, 11(4), 393-421. [Journal Link] [PDF]

29. Optimal investment and liability ratio policies in a multidimensional regime switching model (with Abel Cadenillas, 2017). Risks, 5(1), 6. [Journal Link] [PDF]

30. Explicit solutions of optimal consumption, investment and insurance problems with regime switching (with Abel Cadenillas, 2014). Insurance: Mathematics and Economics, 58, 159-167. [Journal Link] Expended version: [arXiv] [PDF]

31. Optimal investment and risk control policies for an insurer: expected utility maximization (with Abel Cadenillas, 2014). Insurance: Mathematics and Economics, 58, 57-67. [Journal Link] [PDF]

Selected Recent Working papers

• Optimal proportional insurance under claim habit (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2024). Submitted.

• Continuous-time optimal reporting with full insurance under the mean-variance criterion (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2024). Submitted.

• A two-layer stochastic game approach to reinsurance contracting and competition (with Yi Xia and Zongxia Liang, 2024). Submitted. [arXiv] [RG]

• Optimal loss reporting in continuous time with full insurance (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2024). Submitted. [SSRN]

• Liquidity provision and its information content in decentralized markets (with T. Chen, J. Deng, and Q. Fu, 2023). [SSRN] [PDF] In revision.

• Practical betting with independent bets: optimal parlay design (with Jeff Decary and David Bergman, 2022).

Notes

1. Corporate Finance (FIN 501, University of Alberta) [PDF]

Theses

1. Ph.D. thesis, Stochastic Control in Optimal Insurance and Investment with Regime Switching, University of Alberta, 2014. [PDF]

2. Master thesis, Efficient Hedging Theory and Its Applications, Beijing Institute of Technology, 2009. [PDF]                                       

3. Undergraduate thesis, Optimal Hedging Strategies of Futures, Beijing Institute of Technology, 2007. [PDF]