6 citations · 6 across the 2 of their papers we have counts for
2 papers
q-fin.RM2021★ 6 cited
Distributionally robust goal-reaching optimization in the presence of background risk
Yichun Chi, Zuo Quan Xu, Sheng Chao Zhuang
In this paper, we examine the effect of background risk on portfolio selection and optimal reinsurance design under the criterion of maximizing the probability of reaching a goal.…
q-fin.RM2020
Variance Contracts
Yichun Chi, Xun Yu Zhou, Sheng Chao Zhuang
We study the design of an optimal insurance contract in which the insured maximizes her expected utility and the insurer limits the variance of his risk exposure while maintaining…