Recent Papers

Li, B., Luo, P., and Xiong, D. (2019). Equilibrium strategies for the alpha-maxmin expected utility maximization. SIAM Journal on Financial Mathematics 10(2): 394-429. https://epubs.siam.org/doi/abs/10.1137/18M1178542

Cao, J., Landriault, D., and Li, B. (2020). Optimal reinsurance-investment strategies for dynamic contagion claims. Insurance: Mathematics and Economics 93: 206-215. https://www.sciencedirect.com/science/article/abs/pii/S0167668720300664

Einmahl, J. H., Yang, F., & Zhou, C. (2020). Testing the multivariate regular variation model. Journal of Business & Economic Statistics, 1-13.  https://www.tandfonline.com/doi/pdf/10.1080/07350015.2020.1737533

Jiang, R., and Weng, C. (2020). Climate change risk and agriculture-related stocks, Working paper https://ssrn.com/abstract=3506311.

Diao, L., Meng, Y., and Weng, C. (2020). A DSA algorithm for mortality forecasting. North

American Actuarial Journal, to appear. https://ssrn.com/abstract=3537368.

Chen, Y., Liu, P., Liu, Y. and Wang, R. (2020). Ordering and inequalities for mixtures on risk aggregation, Working paper  https://arxiv.org/abs/2007.12338.

Chen, Y., Liu, P., Tan, K. S. and Wang, R. (2020). Trade-off between validity and efficiency of merging p-values under arbitrary dependence, Working paper  https://arxiv.org/abs/2007.12366.

Liu, F., Wang, R. and Wei, L. (2019). Inf-convolution and optimal allocations for tail risk measures, Working paper  http://ssrn.com/abstract=3490348

Wang, R. and Wei, Y. (2020). Risk functionals with convex level sets. Mathematical Finance, forthcoming. https://onlinelibrary.wiley.com/doi/abs/10.1111/mafi.12270


Wang, Q., Wang, R. and Wei, Y. (2020). Distortion riskmetrics on general spaces. ASTIN Bulletin, forthcoming. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3510363

Liu, P., Schied, A. and Wang, R. (2020). Distributional transforms, probability distortions, and their applications. Mathematics of Operations Research, forthcoming. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3419388

Wang, R., Wei, Y. and Willmot, G. (2020). Characterization, robustness and aggregation of signed Choquet integrals. Mathematics of Operations Research, 45(3), 993–1015. https://pubsonline.informs.org/doi/abs/10.1287/moor.2019.1020


Wang, R. and Wei, Y. (2020). Characterizing optimal allocations in quantile-based risk sharing. Insurance: Mathematics and Economics, 93, 288–300. https://www.sciencedirect.com/science/article/abs/pii/S0167668720300810

Liu, P., Wang, R. and Wei, L. (2020). Is the inf-convolution of law-invariant preferences law-invariant? Insurance: Mathematics and Economics, 91, 144–154. https://www.sciencedirect.com/science/article/abs/pii/S0167668720300123

Mao, T. and Wang, R. (2020). Risk aversion in regulatory capital principles. SIAM Journal on Financial Mathematics, 11(1), 169–200. https://epubs.siam.org/doi/abs/10.1137/18M121842X

Liu, F., Cai, J., Lemieux, C. and Wang, R. (2020). Convex risk functionals: representation and applications. Insurance: Mathematics and Economics, 90, 66–79. https://www.sciencedirect.com/science/article/pii/S0167668719304032

Kolkiewicz, A., Rice, G., and  Y. Xie (2020) Projection pursuit based tests of normality with functional, Journal of Statistical Planning and Inference, 211, 326-339

https://www.sciencedirect.com/science/article/abs/pii/S0378375820300835

Feng, M.B., Tan Z., and Zheng J, 2020. Efficient Simulation Designs for Valuation of Large Variable Annuity Portfolios. North American Actuarial Journal 24: 275-289.

https://www.tandfonline.com/doi/abs/10.1080/10920277.2019.1685394

Dang, O., Feng M.B., and Hardy M.R., 2020. Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities. North American Actuarial Journal 24: 187-210.

https://www.tandfonline.com/doi/abs/10.1080/10920277.2019.1636399

Feng, M.B. and Song, E., 2019. Efficient input uncertainty quantification via green simulation using sample path likelihood ratios. In Proceedings of the 2019 Winter Simulation Conference, (pp. 3693-3704). Piscataway, New Jersey: Institute of Electrical and Electronics Engineers, Inc.

https://ieeexplore.ieee.org/abstract/document/9004835

Dang, O., Feng M.B., and Hardy M.R., 2019. Efficient Nested Simulation of Tail Risk Measures. In Proceedings of the 2019 Winter Simulation Conference, (pp. 938-949). Piscataway, New Jersey: Institute of Electrical and Electronics Engineers, Inc.

https://ieeexplore.ieee.org/abstract/document/9004808/

Li, J., Li, J.S.-H. and Balasooriya, U. (2020). The Impact of Model Uncertainty on Index-based Longevity Hedging and Measurement of Longevity Basis Risk. Risks 83: 80.

https://www.mdpi.com/2227-9091/8/3/80

Li, J.S.-H. and Liu, Y. (2020). The Heat Wave Model for Constructing Two-Dimensional Mortality Improvement Scales with Measures of Uncertainty. Insurance: Mathematics and Economics 93: 1-26. https://www.sciencedirect.com/science/article/abs/pii/S0167668720300457

Zhou, K.Q. and Li., J.S.-H. (2020). Asymmetry in Mortality Volatility and Its Implications on Index-based Longevity Hedging. Annals of Actuarial Science 14: 278-301.

https://www.cambridge.org/core/journals/annals-of-actuarial-science/article/asymmetry-in-mortality-volatility-and-its-implications-on-indexbased-longevity-hedging/DDBB0AF0C91093D046245CF14CB0B0A7

Li, J.S.-H., Zhou, R., Liu, Y., Graziani, G., Hall, D., Haid, J., Peterson, A., Pinzur, L. (2020). Drivers of Mortality Dynamics: Identifying Age/Period/Cohort Components of Historical U.S. Mortality Improvements. North American Actuarial Journal 24(2): 228-250.

https://www.tandfonline.com/doi/abs/10.1080/10920277.2020.1716808

Zhou, R., Pai, J. and Li, J.S.-H. (2019). Pricing Temperature Derivatives with a Filtered Historical Simulation Approach. European Journal of Finance, 25, 1462-1484. https://www.tandfonline.com/doi/abs/10.1080/1351847X.2019.1602068