6 citations · 6 across the 2 of their papers we have counts for
3 papers
math.OC2023
Distorted optimal transport
Haiyan Liu, Bin Wang, Ruodu Wang +1
Classic optimal transport theory is formulated through minimizing the expected transport cost between two given distributions. We propose the framework of distorted optimal transpo…
q-fin.RM2021★ 6 cited
Distributionally robust goal-reaching optimization in the presence of background risk
Yichun Chi, Zuo Quan Xu, Sheng Chao Zhuang
In this paper, we examine the effect of background risk on portfolio selection and optimal reinsurance design under the criterion of maximizing the probability of reaching a goal.…
q-fin.MF2015
Optimal Insurance with Rank-Dependent Utility and Increasing Indemnities
Xu Zuo Quan, Zhou Xun Yu, Zhuang Sheng Chao
Bernard et al. (2015) study an optimal insurance design problem where an individual's preference is of the rank-dependent utility (RDU) type, and show that in general an optimal co…