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. Optimal insurance under endogenous default and background risk (with Zongxia Liang and Zhaojie Ren, 2026+). ASTIN Bulletin, accepted. [arXiv]
2. 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, accepted. [arXiv] [SSRN]
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] [PDF]
4. 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)
5. 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]
6. 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]
7. 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]
8. 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]
9. 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]
10. 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]
11. Mean-variance tradeoff of Bitcoin inverse futures (with Jun Deng, Huifeng Pan, and Shuyu Zhang, 2024). Blockchain, 2024(1), 0005. [Journal] [SSRN]
12. 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]
13. 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]
14. 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]
15. 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.
16. 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]
17. 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]
18. 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]
19. 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]
20. 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]
21. 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]
22. 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]
23. 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]
24. 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]
25. Mean-variance portfolio selection in contagious markets (with Y. Shen, 2022). SIAM Journal on Financial Mathematics, 13(2), 391-425. [Journal] [PDF] [arXiv]
26. 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]
27. Optimal fee structure of variable annuities (with Gu Wang, 2021). Insurance: Mathematics and Economics, 101, 587-601. [Journal] [PDF] [SSRN]
28. 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]
29. Optimal bookmaking (with M. Lorig and Z. Zhou, 2021). European Journal of Operational Research, 295(2), 560-574. [Journal] [PDF] [ResearchGate] [SSRN] [arXiv]
30. 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]
31. 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]
32. Bond indifference prices (with M. Lorig, 2021). Quantitative Finance, 21(7), 1223-1233. [PDF] [ResearchGate] [SSRN] [Journal]