Year 2022
- Boyle, P., Tan, K.S., Wei, P., & Zhuang, S. C. (2022). Annuity and insurance choice under habit formation, Insurance: Mathematics and Economics, 105, 211-237.
https://doi.org/10.1016/j.insmatheco.2022.04.003 - Meng, H., Wei, P., Zhang, W., & Zhuang, S. C. (2022). Optimal dynamic reinsurance under heterogeneous beliefs and CRRA utility, SIAM Journal on Financial Mathematics, 13(3), 903-943.
https://doi.org/10.1137/21M1411093 - Wei, P., Yang, C., & Zhuang, Y. (2023). Robust consumption and portfolio choice with derivatives trading. European Journal of Operational Research, 304(2), 832-850.
https://doi.org/10.1016/j.ejor.2022.04.021 - Fung, D. W., Wei, P., & Yang, C. C. (Forthcoming). State subsidized reinsurance programs: Impacts on efficiency, premiums, and expenses of the US health insurance markets. European Journal of Operational Research.
https://doi.org/10.1016/j.ejor.2022.08.005 - Brockett, P. L., Golden, L. L., Wei, P., & Yang, C. C. (Forthcoming). Medicare Advantage, medical loss ratio, service efficiency, and efficiently positive health outcomes. North American Actuarial Journal.
https://doi.org/10.1080/10920277.2022.2099425 - Chen, Y., P. Liu, K.S. Tan, R. Wang. Trade-off between validity and efficiency of merging p-values under arbitrary dependence. To appear in Statistica Sinica.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3569329 - Zhang, J., K.S. Tan and C. Weng (2022). Optimal dynamic longevity hedge with basis risk, European Journal of Operation Research 297(1):325-337.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3638370
- Dang, Ou, Mingbin Feng, and Mary R. Hardy (2022). "Two-stage nested simulation of tail risk measurement: A likelihood ratio approach." Insurance: Mathematics and Economics 108 (2023): 1-24.
https://doi.org/10.1016/j.insmatheco.2022.10.002