10 citations · 14 across the 9 of their papers we have counts for
10 papers
Nash Peer-to-Peer Insurance Bargaining under Price Fairness and Coalitional Stability
Tim J. Boonen, Wing Fung Chong, Kenneth Tsz Hin Ng +1
We study peer-to-peer (P2P) insurance contracting between a risk-averse P2P reinsurer and multiple risk-averse peers in an asymmetric Nash-bargaining framework, where all agents se…
Pareto Optimal Centralized Risk Sharing with Multiple Agents: Inclusivity and Fairness
Debora Daniela Escobar, Wing Fung Chong
This paper studies centralized risk sharing with endogenous prices. Multiple policyholders transfer risks to a central insurer through indemnity decisions, while prices are determi…
Strategic Risk Reduction: Self-Protection and Self-Insurance
Wing Fung Chong
This paper studies how a risk holder should combine self-protection and self-insurance strategies when market insurance is absent. Self-protection reduces loss frequency, while sel…
Capital-Allocation-Induced Risk Sharing
Wing Fung Chong, Runhuan Feng, Kenneth Tsz Hin Ng
This article proposes a new class of risk-sharing rules by exploring the relationship between capital allocation and risk sharing. While the former is concerned with ex-ante alloca…
Incident-Specific Cyber Insurance
Wing Fung Chong, Daniel Linders, Zhiyu Quan +1
In the current market practice, many cyber insurance products offer a coverage bundle for losses arising from various types of incidents, such as data breaches and ransomware attac…
Optimal Investment in Defined Contribution Pension Schemes with Forward Utility Preferences
Kenneth Tsz Hin Ng, Wing Fung Chong
Optimal investment strategies of an individual worker during the accumulation phase in the defined contribution pension scheme have been well studied in the literature. Most of the…
Cyber Risk Assessment for Capital Management
Wing Fung Chong, Runhuan Feng, Hins Hu +1
This paper introduces a two-pillar cyber risk management framework to address the pervasive challenges in managing cyber risk. The first pillar, cyber risk assessment, combines ins…
Pseudo-Model-Free Hedging for Variable Annuities via Deep Reinforcement Learning
Wing Fung Chong, Haoen Cui, Yuxuan Li
This paper proposes a two-phase deep reinforcement learning approach, for hedging variable annuity contracts with both GMMB and GMDB riders, which can address model miscalibration…
Pandemic risk management: resources contingency planning and allocation
Xiaowei Chen, Wing Fung Chong, Runhuan Feng +1
Repeated history of pandemics, such as SARS, H1N1, Ebola, Zika, and COVID-19, has shown that pandemic risk is inevitable. Extraordinary shortages of medical resources have been obs…
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Wing Fung Chong, Ying Hu, Gechun Liang +1
Using elements from the theory of ergodic backward stochastic differential equations (BSDE), we study the behavior of forward entropic risk measures. We provide their general repre…