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Bin Li

Associate Professor

Bin LiContact Information:
Bin Li

Personal website

Research interests

Stochastic control (dynamic optimization) problems in insurance, and finance, and economics.

Education/biography

  • PhD in Applied Mathematical and Computational Sciences, 2013, University of Iowa, U.S.A. Advisor: Qihe Tang and Lihe Wang
  • MS in Computational Mathematics, 2008, Xi’an Jiaotong University, China
  • BS in Computational Mathematics, 2005, Xi’an Jiaotong University, China

Selected publications

  • Avram, F.; Li, B.; Li, S. General drawdown of general tax model in a time-homogeneous Markov framework. Journal of Applied Probability, forthcoming.
  • Chen, L.; Landriault, D.; Li, B.; Li, D. Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Mathematical Finance, forthcoming.
  • Cao, J.; Landriault, D.; Li, B. (2020). Optimal reinsurance-investment strategies for dynamic contagion claims. Insurance: Mathematics and Economics, 93, 206-215.
  • Li, B.; Luo, P.; Xiong, D. (2019). Equilibrium strategies for the alpha-maxmin expected utility maximization. SIAM Journal on Financial Mathematics, 10(2), 394-429.
  • Landriault, D.; Li, B.; Li, D.; Young, V.R. (2018). Equilibrium strategies for the mean-variance investment problem over a random horizon. SIAM Journal on Financial Mathematics, 9(3), 1046-1073.
  • Li, B.; Willmot, G.E.; Wong, J.T.Y. (2018). A temporal approach to the Parisian risk model. Journal of Applied Probability, 55(1), 302-317.
  • Landriault, D.; Li, B.; Zhang, H. (2017). On magnitude, asymptotics and duration of drawdowns for Lévy models. Bernoulli, 23(1), 432-458.
  • Li, B.; Li, D.; Xiong, D. (2016). Alpha-robust mean-variance reinsurance-investment strategies. Journal of Economic Dynamics and Control, 70, 101-123.
  • Li, B.; Zhou, X. (2013). The joint Laplace transforms for diffusion occupation times. Advances in Applied Probability, 45(4), 1049-1067.
  • Li, B.; Tang, Q.; Zhou, X. (2013). A time-homogeneous diffusion model with tax. Journal of Applied Probability, 50(1), 195-207.
Affiliation: 
University of Waterloo
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