7 papers
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…
Optimal Life Insurance Decision in Mean-Variance DC Management with Mortality Improvements
Yueman Fen, Yueman Feng, Wenyuan Li +2
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…
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…
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…