5 citations · 17 across the 13 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…