Research Interests

Stochastic control (dynamic optimization) problems in insurance, finance, and economics.

Publications

1. (2023). Optimal stopping for exponential Lévy models with weighted discounting. SIAM Journal on Financial Mathematics, 14(3), 777-811 (with David Landriault, José M. Pedraza*).

2. (2023). Bridging the first and last passage times for Lévy models. Stochastic Processes and their Applications, 157, 308-334 (with David Landriault, Mohamed Amine Lkabous, Zijia Wang).

3. (2022). Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution. Journal of Economic Dynamics and Control, 143, 104515 (with Guohui Guan).

4. (2022). Portfolio optimization under multivariate affine generalized hyperbolic distributions. International Review of Economics and Finance, 80, 49-66 (with Chou-Wen Wang, Kai Liu, and Ken Seng Tan).

5. (2021). Optimal reinsurance under the α-maxmin mean-variance criterion. Insurance: Mathematics and Economics, 101, 225-239 (with Liming Zhang*).

6. (2021). High-water mark fee structure in variable annuities. Journal of Risk and Insurance, 88(4), 1057-1094 (with David Landriault, Dongchen Li, and Yumin Wang*).

7. (2021). General drawdown of general tax model in a time-homogeneous Markov framework. Journal of Applied Probability, 58, 1131-1151 (with Florin Avram and Shu Li).

8. (2021). Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Mathematical Finance,  31(2), 649-682 (with Chen Lyu*, David Landriault, and Danping Li*).

9. (2021). On the analysis of deep drawdowns for the  Lévy insurance risk model. Insurance: Mathematics and Economics, 100, 147-155 (with David Landriault and Mohamed Amine Lkabous*).

10. (2021). A stochastic differential game for insurance market with competitive premium. Journal of Computational and Applied Mathematics, 389, 113349 (with Danping Li* and Yang Shen).

11. (2020). Optimal reinsurance-investment strategies for dynamic contagion claims. Insurance: Mathematics and Economics, 93, 206-215 (with Jingyi Cao* and David Landriault).

12. (2020). On Occupation times in the red for Lévy risk models. Insurance: Mathematics and Economics, 92, 17-26 (with David Landriault and Mohamed Amine Lkabous*).

13. (2019). On the distribution of classic and some exotic ruin times. Insurance: Mathematics and Economics, 89, 38-45 (with David Landriault, Tianxiang Shi, and Di Xu).

14.  (2019). Equilibrium strategies for the alpha-maxmin expected utility maximization. SIAM Journal on Financial Mathematics, 10(2), 394-429 (with Peng Luo and Dewen Xiong).

15. (2018). Poissonian potential measures for Lévy Risk Models. Insurance: Mathematics and Economics, 82, 152-166 (with David Landriault, Jeff T.Y. Wong*, and Di Xu).

16. (2018). Equilibrium strategies for the mean-variance investment problem over a random horizon. SIAM Journal on Financial Mathematics, 9(3), 1046-1073 (with David Landriault, Danping Li*, and Virginia Young).

17. (2018). Expected utility of the drawdown-based regime-switching risk model with state-dependent termination. Insurance: Mathematics and Economics, 79, 137-147 (with David Landriault and Shu Li).

18. (2018). A temporal approach to the Parisian risk model. Journal of Applied Probability, 55(1), 302-317 (with Gord Willmot and Jeff T.Y. Wong*).

19. (2018). Robust utility maximization with extremely ambiguity-loving or ambiguity-aversion preferences. Stochastics, 90(4), 524-538 (with Lihe Wang and Dewen Xiong).

20. (2017). A general approach for drawdown (drawup) of time-homogeneous Markov processes. Journal of Applied Probability, 54(2), 603-626 (with David Landriault and Hongzhong Zhang).

21. (2017). A note on the convexity of ruin probabilities. Insurance: Mathematics and Economics, 74, 1-6 (with David Landriault, Sooie-Hoe Loke*, Gord Willmot, and Di Xu).

22. (2017). Drawdown risk analysis for the renewal insurance risk process. Scandinavian Actuarial Journal, no. 3, 267-285 (with David Landriault and Shu Li).

23. (2017). On magnitude, asymptotics and duration of drawdowns for Lévy models. Bernoulli, 23(1), 432-458 (with David Landriault and Hongzhong Zhang).

24. (2016). Alpha-robust mean-variance reinsurance-investment strategies. Journal of Economic Dynamics and Control, 70, 101-123 (with Danping Li* and Dewen Xiong).

25. (2016). A pair of optimal reinsurance-investment strategies in the two-sided exit framework. Insurance: Mathematics and Economics, 71, 284-294 (with David Landriault, Danping Li*, and Dongchen Li*).

26. (2015). On minimizing drawdown risks of lifetime investments. Insurance: Mathematics and Economics, 65, 46-54 (with Xinfu Chen, David Landriault, and Dongchen Li*).

27. (2015). Analysis of a drawdown-based regime-switching Lévy insurance model. Insurance: Mathematics and Economics, 60, 98-107 (with David Landriault and Shu Li).

28. (2015). On the frequency of drawdowns for Brownian motion processes. Journal of Applied Probability, 52(1), 191-208 (with David Landriault and Hongzhong Zhang).

29. (2014). Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code. Journal of Financial Engineering, 1(3), 1450023 (with Qihe Tang, Lihe Wang, and Xiaowen Zhou).

30. (2013). The joint Laplace transforms for diffusion occupation times. Advances in Applied Probability, 45(4), 1049-1067 (with Xiaowen Zhou).

31. (2013). A time-homogeneous diffusion model with tax. Journal of Applied Probability, 50(1), 195-207 (with Qihe Tang and Xiaowen Zhou).

32. (2011). A new clustering approach on the basis of dynamical neural field. Neural computation, 23(8), 2032-2057 (with Dequan Jin and Jigen Peng).

* indicates PhD students or postdoc fellows