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