3 papers
q-fin.RM2026
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…
q-fin.MF2026
Forward Performance Processes under Multiple Default Risks
Wing Fung Chong, Roxana Dumitrescu, Gechun Liang +1
This article constructs a forward exponential utility in a market with multiple defaultable risks. Using the Jacod-Pham decomposition for random fields, we first characterize forwa…
q-fin.PM2025
Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach
Wing Fung Chong, Gechun Liang
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with…