3 citations · 4 across the 3 of their papers we have counts for
3 papers
q-fin.MF2023★ 3 cited
Optimal moral-hazard-free reinsurance under extended distortion premium principles
Zhuo Jin, Zuo Quan Xu, Bin Zou
We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only…
math.PR2022
-Expectation of Distributions
Mingyu Xu, Zuo Quan Xu, Xun Yu Zhou
We define -expectation of a distribution as the infimum of the -expectations of all the terminal random variables sharing that distribution. We present two special cases for…
q-fin.RM2021★ 1 cited
Dynamic growth-optimum portfolio choice under risk control
Pengyu Wei, Zuo Quan Xu
This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market. This is a growth-optimal problem with risk control. The risk of log-r…