Bin Zou
Associate Professor
bin.zou@uconn.edu | |
Phone | 860-486-3921 |
Office Location | MONT 428 |
Office Hours | By appointment |
Courses | NA |
Link | https://sites.google.com/site/zoubin019/ |
Education
Ph.D. in Mathematical Finance, University of Alberta, 2015
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.)
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Optimal moral-hazard-free reinsurance under extended distortion premium principles (with Zhuo Jin and Zuo Quan Xu, 2024). SIAM Journal on Control and Optimization, accepted. [ResearchGate] [arXiv] [PDF]
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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]
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Linear classifier models for binary classification (with H. Jeong, 2023). Variance, accepted. [ResearchGate] This is funded by the Casualty Actuarial Society 2022 Individual Grant.
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Equilibrium reporting strategy: Two rate classes and full insurance (with J. Cao, D. Li, and V.R. Young, 2023). Journal of Risk and Insurance, online first. [Journal] [ResearchGate] [PDF]
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Stackelberg reinsurance chain under model ambiguity (with Jingyi Cao, Dongchen Li, and Jenny Young, 2023). Scandinavian Actuarial Journal, accepted. [Journal] [ResearchGate] [SSRN] [PDF]
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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]
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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]
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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]
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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]
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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]
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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]
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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]
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Mean-variance portfolio selection in contagious markets (with Y. Shen, 2022). SIAM Journal on Financial Mathematics, 13(2), 391-425. [Journal] [PDF] [arXiv]
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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]
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Optimal fee structure of variable annuities (with Gu Wang, 2021). Insurance: Mathematics and Economics, 101, 587-601. [Journal] [PDF] [SSRN]
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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] [SSRN] [ResearchGate]
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Optimal bookmaking (with M. Lorig and Z. Zhou, 2021). European Journal of Operational Research, 295(2), 560-574. [Journal] [PDF] [ResearchGate] [SSRN] [arXiv]
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Mean-variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process (with Y. Shen, 2021). Insurance: Mathematics and Economics, 97, 68-80. [PDF] [Journal] [ResearchGate] [arXiv]
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Quadratic hedging for sequential claims with random weights in discrete time (with J. Deng, 2021). Operations Research Letters, 49(2), 218-225. [PDF] [arXiv] [Journal]
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Bond indifference prices (with M. Lorig, 2021). Quantitative Finance, 21(7), 1223-1233. [PDF] [ResearchGate] [SSRN] [Journal]