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Publications

by members of

Central University of Finance and Economics (CUFE) → China Institute for Actuarial Sciences

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2024

  1. Yichun Chi & Tao Hu & Zhengtang Zhao & Jiakun Zheng, 2024, "Optimal insurance design under asymmetric Nash bargaining," Post-Print, HAL, number hal-04718332, Nov, DOI: 10.1016/j.insmatheco.2024.08.006.

2022

  1. Yichun Chi & Jiakun Zheng & Shengchao Zhuang, 2022, "S-shaped narrow framing, skewness and the demand for insurance," Post-Print, HAL, number hal-04227435, Jul, DOI: 10.1016/j.insmatheco.2022.04.005.

2021

  1. Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2021, "Distributionally robust goal-reaching optimization in the presence of background risk," Papers, arXiv.org, number 2108.04464, Aug, revised Dec 2021.

2020

  1. Yichun Chi & Xun Yu Zhou & Sheng Chao Zhuang, 2020, "Variance Contracts," Papers, arXiv.org, number 2008.07103, Aug.

2012

  1. Xue-Zhong He & Lei Shi & Min Zheng, 2012, "Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 302, Mar.

2010

  1. Xue-Zhong He & Min Zheng, 2010, "Dynamics of Moving Average Rules in a Continuous-time Financial Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 268, Jan.

2009

  1. Xue-Zhong He & Kai Li & Junjie Wei & Min Zheng, 2009, "Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 252, Jul.

2007

  1. Carl Chiarella & Xue-Zhong He & Min Zheng, 2007, "The Stochastic Dynamics of Speculative Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 208, Dec.

Journal articles

2026

  1. Boonen, Tim J. & Chi, Yichun, 2026, "Asymmetric Nash insurance bargaining between risk-averse parties," ASTIN Bulletin, Cambridge University Press, volume 56, issue 1, pages 243-269, January.
  2. Chi, Yichun & Huang, Yuxia & Zhuang, Sheng Chao, 2026, "The demand for insurance with ambiguous recovery rate," Insurance: Mathematics and Economics, Elsevier, volume 127, issue C, DOI: 10.1016/j.insmatheco.2025.103209.

2025

  1. Chi, Yichun & Peter, Richard & Wei, Wei, 2025, "On the optimality of straight deductibles under smooth ambiguity aversion," Journal of Economic Behavior & Organization, Elsevier, volume 234, issue C, DOI: 10.1016/j.jebo.2025.107001.

2024

  1. Chi, Yichun & Zhou, Xun Yu & Zhuang, Sheng Chao, 2024, "Variance insurance contracts," Insurance: Mathematics and Economics, Elsevier, volume 115, issue C, pages 62-82, DOI: 10.1016/j.insmatheco.2023.12.005.
  2. Chi, Yichun & Hu, Tao & Zhao, Zhengtang & Zheng, Jiakun, 2024, "Optimal insurance design under asymmetric Nash bargaining," Insurance: Mathematics and Economics, Elsevier, volume 119, issue C, pages 194-209, DOI: 10.1016/j.insmatheco.2024.08.006.
  3. Yichun Chi & Yuxia Huang & Ken Seng Tan, 2024, "An insurer's optimal strategy towards a new independent business," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 2024, issue 1, pages 89-107, January, DOI: 10.1080/03461238.2023.2209858.

2023

  1. Chi, Yichun & Hu, Tao & Huang, Yuxia, 2023, "Optimal risk management with reinsurance and its counterparty risk hedging," Insurance: Mathematics and Economics, Elsevier, volume 113, issue C, pages 274-292, DOI: 10.1016/j.insmatheco.2023.09.003.

2022

  1. Chi, Yichun & Zhuang, Sheng Chao, 2022, "Regret-based optimal insurance design," Insurance: Mathematics and Economics, Elsevier, volume 102, issue C, pages 22-41, DOI: 10.1016/j.insmatheco.2021.11.003.
  2. Chi, Yichun & Zheng, Jiakun & Zhuang, Shengchao, 2022, "S-shaped narrow framing, skewness and the demand for insurance," Insurance: Mathematics and Economics, Elsevier, volume 105, issue C, pages 279-292, DOI: 10.1016/j.insmatheco.2022.04.005.
  3. Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2022, "Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk," North American Actuarial Journal, Taylor & Francis Journals, volume 26, issue 3, pages 351-382, August, DOI: 10.1080/10920277.2021.1966805.

2021

  1. Chi, Yichun & Tan, Ken Seng, 2021, "Optimal Incentive-Compatible Insurance With Background Risk," ASTIN Bulletin, Cambridge University Press, volume 51, issue 2, pages 661-688, May.
  2. Asimit, Alexandru V. & Boonen, Tim J. & Chi, Yichun & Chong, Wing Fung, 2021, "Risk sharing with multiple indemnity environments," European Journal of Operational Research, Elsevier, volume 295, issue 2, pages 587-603, DOI: 10.1016/j.ejor.2021.03.012.
  3. Chi, Yichun & Liu, Fangda, 2021, "Enhancing an insurer's expected value by reinsurance and external financing," Insurance: Mathematics and Economics, Elsevier, volume 101, issue PB, pages 466-484, DOI: 10.1016/j.insmatheco.2021.08.010.

2020

  1. Chi, Yichun & Tan, Ken Seng & Zhuang, Sheng Chao, 2020, "A Bowley solution with limited ceded risk for a monopolistic reinsurer," Insurance: Mathematics and Economics, Elsevier, volume 91, issue C, pages 188-201, DOI: 10.1016/j.insmatheco.2020.02.002.
  2. Chi, Yichun & Zhuang, Sheng Chao, 2020, "Optimal insurance with belief heterogeneity and incentive compatibility," Insurance: Mathematics and Economics, Elsevier, volume 92, issue C, pages 104-114, DOI: 10.1016/j.insmatheco.2020.03.006.
  3. Yichun Chi & Wei Wei, 2020, "Optimal insurance with background risk: An analysis of general dependence structures," Finance and Stochastics, Springer, volume 24, issue 4, pages 903-937, October, DOI: 10.1007/s00780-020-00429-0.
  4. Jun Cai & Yichun Chi, 2020, "Optimal reinsurance designs based on risk measures: a review," Statistical Theory and Related Fields, Taylor & Francis Journals, volume 4, issue 1, pages 1-13, July, DOI: 10.1080/24754269.2020.1758500.
  5. Jun Cai & Yichun Chi, 2020, "Responses to discussions on ‘Optimal reinsurance designs based on risk measures: a review’," Statistical Theory and Related Fields, Taylor & Francis Journals, volume 4, issue 1, pages 26-27, July, DOI: 10.1080/24754269.2020.1777025.

2019

  1. Chi, Yichun, 2019, "On The Optimality Of A Straight Deductible Under Belief Heterogeneity," ASTIN Bulletin, Cambridge University Press, volume 49, issue 1, pages 243-262, January.
  2. Ming Zhou & Rachel S. McCrea & Eleni Matechou & Diana J. Cole & Richard A. Griffiths, 2019, "Removal models accounting for temporary emigration," Biometrics, The International Biometric Society, volume 75, issue 1, pages 24-35, March, DOI: 10.1111/biom.12961.

2018

  1. Chi, Yichun & Wei, Wei, 2018, "Optimum Insurance Contracts With Background Risk And Higher-Order Risk Attitudes," ASTIN Bulletin, Cambridge University Press, volume 48, issue 3, pages 1025-1047, September.
  2. Chi, Yichun, 2018, "Insurance choice under third degree stochastic dominance," Insurance: Mathematics and Economics, Elsevier, volume 83, issue C, pages 198-205, DOI: 10.1016/j.insmatheco.2017.10.003.
  3. Zhou, Ming & Dhaene, Jan & Yao, Jing, 2018, "An approximation method for risk aggregations and capital allocation rules based on additive risk factor models," Insurance: Mathematics and Economics, Elsevier, volume 79, issue C, pages 92-100, DOI: 10.1016/j.insmatheco.2018.01.002.

2017

  1. Chi, Yichun & Liu, Fangda, 2017, "Optimal insurance design in the presence of exclusion clauses," Insurance: Mathematics and Economics, Elsevier, volume 76, issue C, pages 185-195, DOI: 10.1016/j.insmatheco.2017.07.003.
  2. Yichun Chi & Ming Zhou, 2017, "Optimal Reinsurance Design: A Mean-Variance Approach," North American Actuarial Journal, Taylor & Francis Journals, volume 21, issue 1, pages 1-14, January, DOI: 10.1080/10920277.2016.1192478.
  3. Yichun Chi & X. Sheldon Lin & Ken Seng Tan, 2017, "Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle," North American Actuarial Journal, Taylor & Francis Journals, volume 21, issue 3, pages 417-432, July, DOI: 10.1080/10920277.2017.1302346.

2016

  1. Chen, Xinxiang & Chi, Yichun & Tan, Ken Seng, 2016, "The Design Of An Optimal Retrospective Rating Plan," ASTIN Bulletin, Cambridge University Press, volume 46, issue 1, pages 141-163, January.
  2. Meng, Hui & Zhou, Ming & Siu, Tak Kuen, 2016, "Optimal reinsurance policies with two reinsurers in continuous time," Economic Modelling, Elsevier, volume 59, issue C, pages 182-195, DOI: 10.1016/j.econmod.2016.07.009.

2015

  1. Asimit, Alexandru V. & Chi, Yichun & Hu, Junlei, 2015, "Optimal non-life reinsurance under Solvency II Regime," Insurance: Mathematics and Economics, Elsevier, volume 65, issue C, pages 227-237, DOI: 10.1016/j.insmatheco.2015.09.006.
  2. Li, Peng & Zhou, Ming & Yin, Chuancun, 2015, "Optimal reinsurance with both proportional and fixed costs," Statistics & Probability Letters, Elsevier, volume 106, issue C, pages 134-141, DOI: 10.1016/j.spl.2015.06.024.
  3. Yuen, Kam Chuen & Liang, Zhibin & Zhou, Ming, 2015, "Optimal proportional reinsurance with common shock dependence," Insurance: Mathematics and Economics, Elsevier, volume 64, issue C, pages 1-13, DOI: 10.1016/j.insmatheco.2015.04.009.
  4. Zhou, Ming & Yuen, Kam C., 2015, "Portfolio Selection By Minimizing The Present Value Of Capital Injection Costs," ASTIN Bulletin, Cambridge University Press, volume 45, issue 1, pages 207-238, January.

2014

  1. Chi, Yichun & Lin, X. Sheldon, 2014, "Optimal Reinsurance With Limited Ceded Risk: A Stochastic Dominance Approach," ASTIN Bulletin, Cambridge University Press, volume 44, issue 1, pages 103-126, January.
  2. Zhu, Yunzhou & Chi, Yichun & Weng, Chengguo, 2014, "Multivariate reinsurance designs for minimizing an insurer’s capital requirement," Insurance: Mathematics and Economics, Elsevier, volume 59, issue C, pages 144-155, DOI: 10.1016/j.insmatheco.2014.09.009.
  3. Yichun Chi & Hui Meng, 2014, "Optimal reinsurance arrangements in the presence of two reinsurers," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 2014, issue 5, pages 424-438, DOI: 10.1080/03461238.2012.723638.
  4. Ming Zhou & Ka Fai Cedric Yiu, 2014, "Optimal dividend strategy with transaction costs for an upward jump model," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 6, pages 1097-1106, June, DOI: 10.1080/14697688.2011.647052.

2013

  1. Chi, Yichun & Tan, Ken Seng, 2013, "Optimal reinsurance with general premium principles," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 180-189, DOI: 10.1016/j.insmatheco.2012.12.001.
  2. Chi, Yichun & Weng, Chengguo, 2013, "Optimal reinsurance subject to Vajda condition," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 1, pages 179-189, DOI: 10.1016/j.insmatheco.2013.05.002.
  3. Carl Chiarella & Xue-Zhong He & Min Zheng, 2013, "Heterogeneous expectations and exchange rate dynamics," The European Journal of Finance, Taylor & Francis Journals, volume 19, issue 5, pages 392-419, May, DOI: 10.1080/1351847X.2011.601690.
  4. Bai, Lihua & Cai, Jun & Zhou, Ming, 2013, "Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 664-670, DOI: 10.1016/j.insmatheco.2013.09.008.

2012

  1. Chi, Yichun, 2012, "Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability," ASTIN Bulletin, Cambridge University Press, volume 42, issue 2, pages 529-557, November.
  2. Chi, Yichun & Lin, X. Sheldon, 2012, "Are Flexible Premium Variable Annuities Under-Priced?," ASTIN Bulletin, Cambridge University Press, volume 42, issue 2, pages 559-574, November.
  3. Chi, Yichun, 2012, "Optimal reinsurance under variance related premium principles," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 2, pages 310-321, DOI: 10.1016/j.insmatheco.2012.05.005.
  4. Zhou, Ming & Yuen, Kam C., 2012, "Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle," Economic Modelling, Elsevier, volume 29, issue 2, pages 198-207, DOI: 10.1016/j.econmod.2011.09.007.

2011

  1. Chi, Yichun & Tan, Ken Seng, 2011, "Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach," ASTIN Bulletin, Cambridge University Press, volume 41, issue 2, pages 487-509, November.
  2. Chi, Yichun & Lin, X. Sheldon, 2011, "On the threshold dividend strategy for a generalized jump-diffusion risk model," Insurance: Mathematics and Economics, Elsevier, volume 48, issue 3, pages 326-337, May.
  3. Meng, Hui & Siu, Tak Kuen, 2011, "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 211-218, January.
  4. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011, "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 1, pages 148-162, January.

2010

  1. Chi, Yichun & Jaimungal, Sebastian & Lin, X. Sheldon, 2010, "An insurance risk model with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, volume 46, issue 1, pages 52-66, February.
  2. Chi, Yichun, 2010, "Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance," Insurance: Mathematics and Economics, Elsevier, volume 46, issue 2, pages 385-396, April.
  3. He, Xue-Zhong & Zheng, Min, 2010, "Dynamics of moving average rules in a continuous-time financial market model," Journal of Economic Behavior & Organization, Elsevier, volume 76, issue 3, pages 615-634, December.

2009

  1. Chi, Yichun & Yang, Jingping & Qi, Yongcheng, 2009, "Decomposition of a Schur-constant model and its applications," Insurance: Mathematics and Economics, Elsevier, volume 44, issue 3, pages 398-408, June.
  2. Jiantao Li & Min Zheng, 2009, "Robust estimation of multivariate regression model," Statistical Papers, Springer, volume 50, issue 1, pages 81-100, January, DOI: 10.1007/s00362-007-0063-6.
  3. He, Xue-Zhong & Li, Kai & Wei, Junjie & Zheng, Min, 2009, "Market stability switches in a continuous-time financial market with heterogeneous beliefs," Economic Modelling, Elsevier, volume 26, issue 6, pages 1432-1442, November.
  4. Zhou, Ming & Cai, Jun, 2009, "A perturbed risk model with dependence between premium rates and claim sizes," Insurance: Mathematics and Economics, Elsevier, volume 45, issue 3, pages 382-392, December.

2008

  1. Chiarella, Carl & He, Xue-Zhong & Wang, Duo & Zheng, Min, 2008, "The stochastic bifurcation behaviour of speculative financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 387, issue 15, pages 3837-3846, DOI: 10.1016/j.physa.2008.01.078.
  2. Yuen, Kam-Chuen & Zhou, Ming & Guo, Junyi, 2008, "On a risk model with debit interest and dividend payments," Statistics & Probability Letters, Elsevier, volume 78, issue 15, pages 2426-2432, October.

2007

  1. Xin Zhang & Ming Zhou & Junyi Guo, 2007, "Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 23, issue 1, pages 63-71, January, DOI: 10.1002/asmb.637.

2006

  1. Zhang, H.Y. & Zhou, M. & Guo, J.Y., 2006, "The Gerber-Shiu discounted penalty function for classical risk model with a two-step premium rate," Statistics & Probability Letters, Elsevier, volume 76, issue 12, pages 1211-1218, July.

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