5 citations · 17 across the 13 of their papers we have counts for
13 papers
Optimal moral-hazard-free reinsurance under extended distortion premium principles
Zhuo Jin, Zuo Quan Xu, Bin Zou
We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only…
Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models
Yang Shen, Bin Zou
We consider monotone mean-variance (MMV) portfolio selection problems with a conic convex constraint under diffusion models, and their counterpart problems under mean-variance (MV)…
Mean-Variance Portfolio Selection in Contagious Markets
Yang Shen, Bin Zou
We consider a mean-variance portfolio selection problem in a financial market with contagion risk. The risky assets follow a jump-diffusion model, in which jumps are driven by a mu…
Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process
Yang Shen, Bin Zou
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward i…
Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading
Carol Alexander, Jun Deng, Bin Zou
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strateg…
A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies
Zhuo Jin, Zuo Quan Xu, Bin Zou
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend pa…
Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time
Jun Deng, Bin Zou
We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the optimal hedging strategy explicitly in a recursive repr…
Optimal Bookmaking
Matthew Lorig, Zhou Zhou, Bin Zou
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the pri…
A Mathematical Analysis of Technical Analysis
Matthew Lorig, Zhou Zhou, Bin Zou
In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long…
An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing
Dianfa Chen, Jun Deng, Jianfen Feng +1
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov…
Optimal Investment with Transaction Costs under Cumulative Prospect Theory in Discrete Time
Bin Zou, Rudi Zagst
We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with tra…
Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
Bin Zou, Abel Cadenillas
Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optima…
Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching
Bin Zou, Abel Cadenillas
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial mar…