2 papers
q-fin.MF2026
Behavioral Participating Insurance: Optimal Investment under Probability Distortion and Aspiration Constraints
Hao Liu, Yang Liu, Zhenyu Shen
We study optimal investment for insurers managing participating (profit-sharing) contracts under probability distortion and probability benchmark (aspiration) constraints. The prob…
math.OC2024
PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets
Yang Liu, Zhenyu Shen
In hedge funds, convex compensation schemes are adopted to stimulate a high-profit performance for portfolio managers. In economics, non-monotone risk aversion is proposed to argue…