Publications

Publications

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

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

Wikipedia and stock return: Wikipedia usage pattern helps to predict the individual stock movement, (with Ning Wang), Proceedings of the 25th International Conference Companion on World Wide Web (pp. 591-594).

Working Papers

Optimal dynamic reinsurance policies under Mean-CVaR - a generalized Denneberg’s absolute deviation principle, (with Ken Seng Tan, Wei Wei, Shengchao Zhuang), under review.

A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty, (with Michael Sherris), under review.

Equilibrium analysis of expected shortfall.

Robust portfolio choice and consumption with derivative trading under stochastic volatility and jumps, (with Yi Zhuang).

How does consumption habit affect the household's demand for life-contingent claims? (with Phelim Boyle, Ken Seng Tan, Shengchao Zhuang).