10 citations · 14 across the 9 of their papers we have counts for
8 papers · 1 filter
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…
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…