Publications

Publications

  1. Medicare Advantage, medical loss ratio, service efficiency, and efficiently positive health outcomes, (with Patrick Brockett, Linda Golden, and Charles Yang), North American Actuarial Journal. Forthcoming.

  2. State subsidized reinsurance programs: Impacts on efficiency, premiums, and expenses of the US health insurance markets, (with Derrick Fung and Charles Yang), European Journal of Operational Research. 2023; 306 (2): 941-954

  3. Robust consumption and portfolio choice with derivatives trading, (with Charles Yang and Yi Zhuang), European Journal of Operational Research. 2023; 304(2): 832-850.

  4. Optimal dynamic reinsurance under heterogeneous beliefs and CRRA utility, (with Hui Meng, Wanlu Zhang, Shengchao Zhuang), SIAM Journal on Financial Mathematics. 2022; 13(3): 903-943.

  5. Annuity and insurance choice under habit formation, (with Phelim Boyle, Ken Seng Tan, Shengchao Zhuang), Insurance: Mathematics and Economics. 2022; 105: 211-237.

  6. Demand for non-life insurance under habit formation, (with Wenyuan Li and Ken Seng Tan), Insurance: Mathematics and Economics. 2021; 101: 38-54.

  7. Risk management with expected shortfall, Mathematics and Financial Economics. 2021; 15: 847–883.

  8. A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty, (with Michael Sherris), North American Actuarial Journal. 2021; 25(1): 17-39.

  9. Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle, (with Ken Seng Tan, Wei Wei, Shengchao Zhuang), European Journal of Operational Research. 2020; 282(1): 345-362.

  10. Derivatives trading for insurers, (with Xiaole Xue, Chengguo Weng), Insurance: Mathematics and Economics. 2019; 84: 40-53.

  11. Risk management with weighted VaR, Mathematical Finance. 2018; 28(4): 1020–1060.