Education

Ph.D. in Mathematical Finance (2015), University of Alberta

M.S. (2009) and B.S. (2007) in Mathematics, Beijing Institute of Technology

Research Interests

Actuarial Science; Financial Mathematics; Stochastic Control and Optimization

Recent Publications (since 2021)

(Please visit https://sites.google.com/site/zoubin019/research for a full list of publications and working papers.)

1. Liquidity provision and its information content in decentralized markets (with Tian Chen, Jun Deng, Jing Nie, and Qi Fu, 2026). Journal of Financial Markets. [Journal] [PDF].

2. Optimal insurance under endogenous default and background risk (with Zongxia Liang and Zhaojie Ren, 2026). ASTIN Bulletin, 56(2), 537-562. [Journal] [arXiv]

3. Optimal proportional insurance under claim habit (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2026). ASTIN Bulletin, 56(1), 220-242. [Journal] [SSRN]

4. Equilibrium strategies for singular dividend control problems under the mean-variance criterion (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2026). SIAM Journal on Control and Optimization, 64(3), 1383-1405. [Journal] [arXiv] [SSRN]

5. Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility (with Lihua Bian, Yang Shen, and Wenjun Zhang, 2025). Quantitative Finance, 25(10), 1615-1637. [Journal] (Open Access)

6. Development of telematics risk scores in accordance with regulatory compliance (with Hashan Peiris and Himchan Jeong, 2025). Variance, 18 (October), 1-15. [Journal] [ResearchGate] [SSRN]

7. Equilibrium mean-variance dividend rate strategies (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2025). SIAM Journal on Financial Mathematics, 16(3), SC64-SC75. [Journal] [SSRN] [PDF]

8. Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2025). Insurance: Mathematics and Economics, 125, 103133. [Journal] [SSRN] [PDF]

9. Optimal loss reporting in continuous time with full insurance (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2025). SIAM Journal on Financial Mathematics, 16(2), 448-479. [Journal] [SSRN] [PDF]

10. Continuous-time optimal reporting with full insurance under the mean-variance criterion (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2025). Insurance: Mathematics and Economics, 120, 79-90. [Journal] [SSRN] [PDF]

11. A two-layer stochastic game approach to reinsurance contracting and competition (with Zongxia Liang and Yi Xia, 2024). Insurance: Mathematics and Economics, 119, 226-237. [Journal] [arXiv]

12. Mean-variance tradeoff of Bitcoin inverse futures (with Jun Deng, Huifeng Pan, and Shuyu Zhang, 2024). Blockchain, 2024(1), 0005. [Journal] [SSRN]

13. Strategic underreporting and optimal deductible insurance (with Jingyi Cao, Dongchen Li, and Virginia R. Young, 2024). ASTIN Bulletin, 54(3), 767-790. [Journal] [ResearchGate] [PDF]

14. Optimal moral-hazard-free reinsurance under extended distortion premium principles (with Zhuo Jin and Zuo Quan Xu, 2024). SIAM Journal on Control and Optimization, 62(3), 1390-1416. [ResearchGate] [arXiv] [PDF]

15. Optimal insurance to maximize exponential utility when premium is computed by a convex functional (with J. Cao, D. Li, and V.R. Young, 2024). SIAM Journal on Financial Mathematics, 15(1), SC15-27. [Journal] [RG] [SSRN] [arXiv]

16. Linear classifier models for binary classification (with H. Jeong, 2025). Variance, 18 (May), 1-15. [Journal] [ResearchGate] This is funded by the Casualty Actuarial Society 2022 Individual Grant.

17. Equilibrium reporting strategy: Two rate classes and full insurance (with J. Cao, D. Li, and V.R. Young, 2024). Journal of Risk and Insurance, 91(3), 721-752. [Journal] [ResearchGate] [PDF]

18. Stackelberg reinsurance chain under model ambiguity (with Jingyi Cao, Dongchen Li, and Jenny Young, 2024). Scandinavian Actuarial Journal, 2024(4), 329-360. [Journal] [ResearchGate] [SSRN] [PDF]

19. Reinsurance games with n variance-premium reinsurers: From tree to chain (with J. Cao, D. Li, and V.R. Young, 2023). ASTIN Bulletin, 53(3), 706-728. [Journal] [PDF] [ResearchGate]

20. Reinsurance games with two reinsurers: Tree versus chain (with J. Cao, D. Li, and V.R. Young, 2023). European Journal of Operational Research, 310(2), 928-941. [Journal] [PDF] [SSRN]

21. Stackelberg differential game for insurance under model ambiguity: General divergence (with J. Cao, D. Li, and V.R. Young, 2023). Scandinavian Actuarial Journal, 2023(7), 735-763. [Journal] [PDF] [SSRN]

22. Hedging with automatic liquidation and leverage selection on bitcoin futures (with C. Alexander and J. Deng, 2023). European Journal of Operational Research, 306(1), 478-493. [Journal] (open access) [PDF] [SSRN] [arXiv] [ResearchGate]

23. Stackelberg differential game for insurance under model ambiguity (with J. Cao, D. Li, and V.R. Young, 2022). Insurance: Mathematics and Economics, 106, 128-145. [Journal] [PDF] [RG]

24. A dynamic credibility model with self-excitation and exponential decay (with H. Jeong, 2022). 2022 Winter Simulation Conference Proceedings, 3241-3250. [Journal] [PDF] [SSRN] [RG]

25. Cone-constrained monotone mean-variance portfolio selection under diffusion models (with Y. Shen, 2022). SIAM Journal on Financial Mathematics, 13(4), SC99-112. [Journal] [PDF] [arXiv] [RG]

26. Mean-variance portfolio selection in contagious markets (with Y. Shen, 2022). SIAM Journal on Financial Mathematics, 13(2), 391-425. [Journal] [PDF] [arXiv]

27. A perturbation approach to optimal investment, liability ratio, and dividend strategies (with Z. Jin and Z.Q. Xu, 2022). Scandinavian Actuarial Journal, 2022(2), 165-188. [Journal] [PDF] [arXiv]

28. Optimal fee structure of variable annuities (with Gu Wang, 2021). Insurance: Mathematics and Economics, 101, 587-601. [Journal] [PDF] [SSRN]

29. Optimal bitcoin trading with inverse futures (with J. Deng, H. Pan, and S. Zhang, 2021). Annals of Operations Research, 304(1), 139-163. [Journal] [PDF]