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:
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]
Pareto-efficient risk sharing in centralized insurance markets with application to flood risk (with Tim Boonen and Mario Ghossoub), Journal of Risk and Insurance, in press, 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]
Submitted Papers (year indicates when the paper was last (re)submitted):
Delegated investment in retirement savings: is there value added? (with Tiancheng Huang and Gaurav Khemka), 2024.
Incident-specific cyber insurance (with Daniël Linders, Zhiyu Quan, and Linfeng Zhang), arXiv:2308.00921, 2024.
Cyber risk assessment for capital management (with Runhuan Feng, Hins Hu, and Linfeng Zhang), arXiv:2205.08435, 2024.
Portfolio selection and risk sharing via risk budgeting (with Vali Asimit, Radu Tunaru, and Feng Zhou), 2024.