5 papers in the archive (2023–2026), average empirical rigor 3.5/10, average math complexity 7.9/10. Quadrant mix: Holy Grail ×2, Lab Rats ×3.
Works mostly in Insurance & Actuarial Risk, Risk Management & Tail Risk, Stochastic Control & Optimal Stopping.
Frequent co-authors: Kenneth Tsz Hin Ng (3), Mario Ghossoub (1), Michael B. Zhu (1), Roxana Dumitrescu (1), Gechun Liang (1), Daniel Linders (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%).
We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents’ preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal allocations of the aggregate risk in the market, and we show tha
In the current market practice, many cyber insurance products offer a coverage bundle for losses arising from various types of incidents, such as data breaches and ransomware attacks, and the coverage for each incident type comes with a separate limit and deductible. Although this gives prospective
This article constructs a forward exponential utility in a market with multiple defaultable risks. Using the Jacod-Pham decomposition for random fields, we first characterize forward performance processes in a defaultable market under the default-free filtration. We then construct a forward utility
Optimal investment strategies of an individual worker during the accumulation phase in the defined contribution pension scheme have been well studied in the literature. Most of them adopted the classical backward model and approach, but any pre-specifications of retirement time, preferences, and mar
This article proposes a new class of risk-sharing rules by exploring the relationship between capital allocation and risk sharing. While the former is concerned with ex-ante allocating capitals to different lines of business within a corporation based on the relationship among the individual risks,