3 papers
math.OC2025
Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework
Junyi Guo, Xia Han, Hao Wang
This paper investigates the dynamic reinsurance design problem under the mean-variance criterion, incorporating heterogeneous beliefs between the insurer and the reinsurer, and int…
math.OC2025
A non-zero-sum game with reinforcement learning under mean-variance framework
Junyi Guo, Xia Han, Hao Wang +1
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a finan…
q-fin.PM2024
Diversification quotient based on expectiles
Xia Han, Liyuan Lin, Hao Wang +1
A diversification quotient (DQ) quantifies diversification in stochastic portfolio models based on a family of risk measures. We study DQ based on expectiles, offering a useful alt…