Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation, with Zhihang Liang (Paris School of Economics) and Wenjun Jiang (University of Calgary), Insurance: Mathematics and Economics, Vol 104: 200-221, 2022.
Abstract: This paper studies the design of optimal insurance from an insurer’s perspective when it is subject to adverse selection issue. Different from the literature, the insureds who are exposed to different types of risks are allowed to apply different preference measures. By assuming that the insureds’ preferences are dictated by some distortion risk measures that always over-estimate the tail risk, we figure out the optimal policy menu without assuming the parametric form of indemnity functions. We also find that the insureds who deem their losses riskier than those of others will always purchase full insurance, which is consistent with the results in past studies. Furthermore, we show that in the presence of adverse selection the optimal policy menu always outperforms the optimal single policy in the sense that the former can yield a larger expected profit for the insurer. This outcome also echoes some existing results in the literature.
Disclosing Share Repurchase More Frequently? with Mao Ye (Cornell) and Feng Zhang (SMU)
Presentations: Cornell, CUHK, PolyU HK, CityU HK, University of Cincinnati, CMU, CUHK (Shenzhen), HKUST (Guangzhou), 8th World Symposium on Investment Research, 9th CCER SI, 2025 China Fintech Research Conference, UBC Summer Finance Conference 2025
Asset Prices and Investor Responses to Randomized Supply Shocks with Mao Ye (Cornell), Chen Yao (CUHK), and Shidong Shao (CUHK)
Previously known as "Supply-based Asset Pricing"
Presentations: 2025 ESADE Spring Workshop, 2025 CICF, Stockholm Business School, Vienna Graduate School of Finance, 9th CCER SI, 2025 China Fintech Research Conference, 2025 SAFE Asset Pricing Workshop, UBC, 2025 FMA, The Microstructure Exchange
Informed Trading in Parallel Market with Dong Lu (Renmin U) and Biao Guo (Renmin U)