Publications

Publications

1. A stochastic model of mutual insurance under heterogeneous time preferences, (with Wei Wei, Charles Yang), North American Actuarial Journal. Forthcoming.

2. Health insurance efficiency: The impacts of COVID-19, market segments, and operational strategies, (with Patrick Brockett, Derrick Fung, Charles Yang), North American Actuarial Journal. Forthcoming.

3. Optimal liquidity and risk management: The use of CAT bonds, (with Yongwu Li, Jinggong Zhang),  North American Actuarial Journal. Forthcoming.

4. Dynamic growth-optimal portfolio choice under risk control, (with Zuo Quan Xu), European Journal of Operational Research. 2025; 322(1), 325-340.

5. Robust risk control with reinsurance and CAT bonds, (with Yongwu Li),  North American Actuarial Journal. 2025; 29(1), 144-169.

6. Optimal defined-contribution pension management with financial and mortality risks, (with Wenyuan Li),  ASTIN Bulletin. 2024; 54(3), 546-568.

7. Tail mean-variance portfolio selection with estimation risk, (with Zhenzhen Huang, Chengguo Weng), Insurance: Mathematics and Economics. 2024; 116, 218-234.

8. Medicare Advantage, medical loss ratio, service efficiency, and efficiently positive health outcomes, (with Patrick Brockett, Linda Golden, and Charles Yang), North American Actuarial Journal. 2023; 27(3), 493-507.

9. Relative growth rate optimization under behavioral criterion, (with Jing Peng, Zuo Quan Xu), SIAM Journal on Financial Mathematics.  2023; 14(4): 1140-1174.

10. Optimal investment for defined-contribution pension plans under money illusion, (with Charles Yang), Review of Quantitative Finance and Accounting. 2023; 61, 729-753.

11. 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

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

13. 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.

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

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

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

17. 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.

18. 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.

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

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