Publications
Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility (with Lihua Bian, Yang Shen, and Wenjun Zhang, 2025). Quantitative Finance, accepted. [PDF] [SSRN]
Development of telematics risk scores in accordance with regulatory compliance (with Hashan Peiris and Himchan Jeong, 2025). Variance, accepted. [ResearchGate] [SSRN] [PDF]
Optimal proportional insurance under claim habit (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2025). ASTIN Bulletin, accepted. [SSRN] [PDF]
Equilibrium mean-variance dividend rate strategies (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2025). SIAM Journal on Financial Mathematics, 16(3), SC64-SC75. [Journal] [SSRN] [PDF]
Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2025). Insurance: Mathematics and Economics, 125, 103133. [Journal] [SSRN] [PDF]
Optimal loss reporting in continuous time with full insurance (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2025). SIAM Journal on Financial Mathematics, 16(2), 448-479. [Journal] [SSRN] [PDF]
Continuous-time optimal reporting with full insurance under the mean-variance criterion (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2025). Insurance: Mathematics and Economics, 120, 79-90. [Journal] [SSRN] [PDF]
A two-layer stochastic game approach to reinsurance contracting and competition (with Zongxia Liang and Yi Xia, 2024). Insurance: Mathematics and Economics, 119, 226-237. [Journal] [arXiv] [RG] [PDF]
Mean-variance tradeoff of Bitcoin inverse futures (with Jun Deng, Huifeng Pan, and Shuyu Zhang, 2024). Blockchain, 2024(1), 0005. [Journal] [SSRN]
Strategic underreporting and optimal deductible insurance (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2024). ASTIN Bulletin, 54(3), 767-790. [Journal] [ResearchGate] [PDF]
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]
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]
Linear classifier models for binary classification (with Himchan Jeong, 2025). Variance, 18 (May), 1-15. [Journal] [ResearchGate] This is funded by the Casualty Actuarial Society 2022 Individual Grant.
Equilibrium reporting strategy: Two rate classes and full insurance (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2024). Journal of Risk and Insurance, 91(3), 721-752. [Journal] [ResearchGate] [PDF]
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]
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]
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]
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]
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]
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]
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]
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]
Mean-variance portfolio selection in contagious markets (with Yang Shen, 2022). SIAM Journal on Financial Mathematics, 13(2), 391-425. [Journal] [PDF] [arXiv]
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]
Optimal fee structure of variable annuities (with Gu Wang, 2021). Insurance: Mathematics and Economics, 101, 587-601. [Journal] [PDF] [SSRN]
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]
Optimal bookmaking (with Matthew Lorig and Zhou Zhou, 2021). European Journal of Operational Research, 295(2), 560-574. [Journal] [PDF] [ResearchGate] [SSRN] [arXiv]
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]
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]
Bond indifference prices (with Matthew Lorig, 2021). Quantitative Finance, 21(7), 1223-1233. [PDF] [ResearchGate] [SSRN] [Journal]
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]
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]
A mathematical analysis of technical analysis (with Matthew Lorig and Zhou Zhou, 2019). Applied Mathematical Finance, 26(1), 38-68. [PDF] [Journal] [arXiv]
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]
Optimal investment in hedge funds under loss aversion (2017). International Journal of Theoretical and Applied Finance, 20(3), 1750014, 2017. [Journal] [PDF]
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]
Optimal investment and liability ratio policies in a multidimensional regime switching model (with Abel Cadenillas, 2017). Risks, 5(1), 6. [Journal Link] [PDF]
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]
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]