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.

Cao, J., Landriault, D., and Li, B. (2020). Optimal reinsurance-investment strategies for dynamic contagion claims. Insurance: Mathematics and Economics 93: 206-215.

Einmahl, J. H., Yang, F., & Zhou, C. (2020). Testing the multivariate regular variation model. Journal of Business & Economic Statistics, 1-13.

Jiang, R., and Weng, C. (2020). Climate change risk and agriculture-related stocks, Working paper

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

American Actuarial Journal, to appear.

Chen, Y., Liu, P., Liu, Y. and Wang, R. (2020). Ordering and inequalities for mixtures on risk aggregation, Working paper

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

Liu, F., Wang, R. and Wei, L. (2019). Inf-convolution and optimal allocations for tail risk measures, Working paper

Wang, R. and Wei, Y. (2020). Risk functionals with convex level sets. Mathematical Finance, forthcoming.

Wang, Q., Wang, R. and Wei, Y. (2020). Distortion riskmetrics on general spaces. ASTIN Bulletin, forthcoming.

Liu, P., Schied, A. and Wang, R. (2020). Distributional transforms, probability distortions, and their applications. Mathematics of Operations Research, forthcoming.

Wang, R., Wei, Y. and Willmot, G. (2020). Characterization, robustness and aggregation of signed Choquet integrals. Mathematics of Operations Research, 45(3), 993–1015.

Wang, R. and Wei, Y. (2020). Characterizing optimal allocations in quantile-based risk sharing. Insurance: Mathematics and Economics, 93, 288–300.

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.

Mao, T. and Wang, R. (2020). Risk aversion in regulatory capital principles. SIAM Journal on Financial Mathematics, 11(1), 169–200.

Liu, F., Cai, J., Lemieux, C. and Wang, R. (2020). Convex risk functionals: representation and applications. Insurance: Mathematics and Economics, 90, 66–79.

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

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.

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.

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.

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.

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.

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.

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.

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.

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.