Publications

Publications

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. Forthcoming.

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.


Working Papers

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

Risk management with expected shortfall, under review.

This paper previously circulated under the title "Equilibrium analysis of expected shortfall".

Annuity and insurance choice under habit formation, (with Phelim Boyle, Ken Seng Tan, Shengchao Zhuang), under review.

This paper previously circulated under the title "How does consumption habit affect the household's demand for life-contingent claims?".

Behavioral portfolio analysis of Value-at-Risk, under review.

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

Retirement planning with systematic disability and mortality risk, (with Michael Sherris, Mengyi Xu), in preparation.