118 citations · 344 across the 34 of their papers we have counts for
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q-fin.MF2015★ 84 cited
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…
math.OC2015
Optimal Investment Stopping Problem with Nonsmooth Utility in Finite Horizon
Chonghu Guan, Xun Li, Zuoquan Xu +1
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper ai…