Research

External Grants:

Cyber Security Academic Startup Accelerator Programme 2022-23: Phase 1 (with Sheung Chi Chan), Department for Digital, Culture, Media and Sport, United Kingdom Government, PI, April 2022-July 2022.

Society of Actuaries Research Project (with Runhuan Feng, Zhiyu Quan, and Linfeng Zhang), Society of Actuaries, "Cyber Risk Literature Search", co-PI, March 2022-October 2022.

Cisco Gift Fund (with Masooda Bashir, Cathy Blake, Runhuan Feng, and Faye Jones), Cisco, "An Integrated Look at Cloud Computing Privacy Protections", co-PI, April 2021-April 2022.

Impact of COVID-19 Grant (with Runhuan Feng, Xiaowei Chen, and Linfeng Zhang), Canadian Institute of Actuaries, "Pandemic Risk Management: Resource Contingency Planning and Allocation", PI, November 2020-February 2021.

Centers of Actuarial Excellence Research Grant 2019-2021 (with Runhuan Feng, Jay Kesan, Daniel Linders, and Zhiyu Quan), Society of Actuaries, "Actuarial Innovation and Technology on Cyber Risk", PI, September 2019-September 2021.

ASA Educational Institution Grant, Society of Actuaries, PI, May 2019-May 2021.

2018 Ignacio Hernando de Larramendi Research Grants (with Runhuan Feng, Jay Kesan, and Daniel Linders), Fundación MAPFRE, "Cyber Insurance Challenges and Opportunities for Market Growth", co-PI, April 2019-December 2020.

Publications in Refereed Journals:

Incident-specific cyber insurance (with Daniël Linders, Zhiyu Quan, and Linfeng Zhang), ASTIN Bulletin: The Journal of the International Actuarial Association, accepted, 2025.

Pareto-optimal peer-to-peer risk sharing with robust distortion risk measures (with Mario Ghossoub and Michael Zhu), ASTIN Bulletin: The Journal of the International Actuarial Association, accepted, 2025.

Cyber risk assessment for capital management (with Runhuan Feng, Hins Hu, and Linfeng Zhang), Journal of Risk and Insurance, accepted, 2025.

Delegated investment in retirement savings: is there value added? (with Tiancheng Huang and Gaurav Khemka), Annals of Actuarial Science, in press, 2025. [Open Access]

Pareto-efficient risk sharing in centralized insurance markets with application to flood risk (with Tim Boonen and Mario Ghossoub), Journal of Risk and Insurance, Vol. 91, No. 2, 449-488, 2024. [Open Access]

Monotonicity of savings function in endogenous gridpoint method with stochastic portfolio returns (with Tiancheng Huang and Gaurav Khemka), Economics Letters, Vol. 239, 111740, 2024. [Open Access]

Optimal investment and consumption with forward preferences and uncertain parameters (with Gechun Liang), Probability, Uncertainty and Quantitative Risk, Vol. 9, No. 1, 65-84, 2024. [Open Access]

Optimal investment in defined contribution pension schemes with forward utility preferences (with Kenneth Tsz Hin Ng), Insurance: Mathematics and Economics, Vol. 114, 192-211, 2024.

Holistic principle for risk aggregation and capital allocation (with Runhuan Feng and Longhao Jin), Annals of Operations Research, Vol. 330, 21-54, 2023. [Open Access]

Pseudo-model-free hedging for variable annuities via deep reinforcement learning (with Haoen Cui and Yuxuan Li), Annals of Actuarial Science, Vol. 17, No. 3, 503-546, 2023. [Open Access] [GitHub Repository]

Imbalanced learning for insurance using modified loss functions in tree-based models (with Changyue Hu and Zhiyu Quan), Insurance: Mathematics and Economics, Vol. 106, 13-32, 2022.

Pandemic risk management: resources contingency planning and allocation (with Xiaowei Chen, Runhuan Feng, and Linfeng Zhang), Insurance: Mathematics and Economics, Vol. 101B, 359-383, 2021. [covidplan.io] [Michael V. Colla Prize for Mathematics Related to Medicine] [Best of 2020 CAS Annual Meeting]

Risk sharing with multiple indemnity environments (with Vali Asimit, Tim Boonen, and Yichun Chi), European Journal of Operational Research, Vol. 295, No. 2, 587-603, 2021. [Open Access]

Pareto-optimal insurance contracts with premium budget and minimum charge constraints (with Vali Asimit, Ka Chun Cheung, and Junlei Hu), Insurance: Mathematics and Economics, Vol. 95, 17-27, 2020.

Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences, Insurance: Mathematics and Economics, Vol. 88, 93-107, 2019.

Budget-constrained optimal reinsurance design under coherent risk measures (with Ka Chun Cheung and Ambrose Lo), Scandinavian Actuarial Journal, Vol. 2019, No. 9, 729-751, 2019.

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior (with Ying Hu, Gechun Liang, and Thaleia Zariphopoulou), Finance and Stochastics, Vol. 23,  No. 1, 239-273, 2019. [Open Access]

Convex ordering for insurance preferences (with Ka Chun Cheung and Phillip Yam), Insurance: Mathematics and Economics, Vol. 64, 409-416, 2015.

Disappointment aversion premium principle (with Ka Chun Cheung, Robert Elliott, and Phillip Yam), ASTIN Bulletin: The Journal of the International Actuarial Association, Vol. 45, No. 3, 679-702, 2015.

The optimal insurance under disappointment theories (with Ka Chun Cheung and Phillip Yam), Insurance: Mathematics and Economics, Vol. 64, 77-90, 2015.

Other Publication:

CyLit: An NLP-Powered Repository and Search Tool for Cyber Risk Literature (with Zhiyu Quan, Linfeng Zhang, and Runhuan Feng), Society of Actuaries Research Institute, 2023. [CyLit Database]