8 papers in the archive (2023–2026), average empirical rigor 2.1/10, average math complexity 8.5/10. Quadrant mix: Lab Rats ×8.
Works mostly in Insurance & Actuarial Risk, Stochastic Control & Optimal Stopping, Portfolio Optimization.
Frequent co-authors: Jingyi Cao (3), Dongchen Li (3), Virginia R. Young (3), Zongxia Liang (3), Tim J. Boonen (1), Engel John C. Dela Vega (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
This paper develops a dynamic insurance market model comprising two competing insurance companies and a continuum of insureds, and examines the interaction between strategic underreporting by the insureds and competitive pricing between the insurance companies under a Bonus-Malus System (BMS) framew
We revisit the optimal dividend problem of de Finetti by adding a variance term to the usual criterion of maximizing the expected discounted dividends paid until ruin, in a singular control framework. Investors do not like variability in their dividend distribution, and the mean-variance (MV) criter
This paper considers an insurer with two collaborating business lines, and the risk exposure of each line follows a diffusion risk model. The manager of the insurer makes three decisions for each line: (i) dividend payout, (ii) (proportional) reinsurance coverage, and (iii) capital injection (from o
We find the optimal indemnity to maximize the expected utility of terminal wealth of a buyer of insurance whose preferences are modeled by an exponential utility. The insurance premium is computed by a convex functional. We obtain a necessary condition for the optimal indemnity; then, because the ca
We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance contracts that are priced using the variance premium princi
This paper studies an optimal dividend problem for a company that aims to maximize the mean-variance (MV) objective of the accumulated discounted dividend payments up to its ruin time. The MV objective involves an integral form over a random horizon that depends endogenously on the company’s dividen
This paper studies an optimal reinsurance problem for a utility-maximizing insurer, subject to the reinsurer’s endogenous default and background risk. An endogenous default occurs when the insurer’s contractual indemnity exceeds the reinsurer’s available reserve, which is random due to the backgroun
We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only consider moral-hazard-free reinsurance contracts by imposing the incentive compatibility constraint on indemnity functio