7 papers
Optimal Life Insurance Decision in Mean-Variance DC Management with Mortality Improvements
Yueman Feng, Wenyuan Li, Mengyi Xu +1
This paper studies the investment and insurance strategies of defined-contribution (DC) pension plans under the mean-variance framework. We consider a stochastic environment with t…
Non-concave Corporate Management with Option Incentives under Value-at-Risk Constraint
Wenyuan Li, Haoqi Lyu, Pengyu Wei
This article studies a dynamic corporate risk management problem by considering the decision-making of risk-averse managers who exert costly effort and select project risk. We stud…
Monopoly Pricing of Weather Index Insurance
Tim J. Boonen, Wenyuan Li, Zixiao Quan
This study models the monopoly pricing of weather index insurance as a Bowley-type sequential game involving a profit-maximizing insurer (leader) and a farmer (follower). The farme…
Mean Field Analysis of Mutual Insurance Market
Bohan Li, Wenyuan Li, Kenneth Tsz Hin Ng +1
A mutual insurance company (MIC) is a type of consumer cooperative owned by its policyholders. By purchasing insurance from an MIC, policyholders effectively become member-owners o…
Periodic evaluation of defined-contribution pension fund: A dynamic risk measure approach
Wanting He, Wenyuan Li, Yunran Wei
This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retire…
Optimal life insurance and annuity decision under money illusion
Wenyuan Li, Pengyu Wei
This paper investigates the optimal consumption, investment, and life insurance/annuity decisions for a family in an inflationary economy under money illusion. The family can inves…
Constrained portfolio optimization in a life-cycle model: A deep pricing kernel approach
Wenyuan Li, Pengyu Wei
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a b…