Bin Zou

Assistant Professor

Education:

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

Research Interests:

Actuarial Science; Financial Mathematics; Stochastic Control and Optimization

Publications:

(Please visit https://sites.google.com/site/zoubin019/research for a full list.)

1. Stackelberg differential game for insurance under model ambiguity: General divergence (with J. Cao, D. Li, and V.R. Young, 2023+). Scandinavian Actuarial Journal, online first. [Journal] [PDF] [SSRN]

2. 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) [SSRN] [arXiv]

3. 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] [SSRN] [PDF]

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

5. 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]

6. Mean-Variance Portfolio Selection in Contagious Markets (with Y. Shen, 2022). SIAM Journal on Financial Mathematics, 13(2), 391-425. [Journal] [arXiv] [PDF]
7. 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]
8. Optimal Fee Structure of Variable Annuities (with Gu Wang, 2021). Insurance: Mathematics and Economics, 101, 587-601. [Journal]  [PDF] [SSRN]
9. 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]
10. Optimal Bookmaking (with M. Lorig and Z. Zhou, 2021). European Journal of Operational Research, 295(2), 560-574. [Journal] [PDF]
11. 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. [Journal] [PDF]
12. Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time (with J. Deng, 2021). Operations Research Letters, 49(2), 218-225. [Journal] [PDF] [arXiv] 
13. Bond Indifference Prices (with M. Lorig, 2021). Quantitative Finance, 21(7), 1223-1233. [Journal] [PDF]
14. Minimum-Variance Hedging of Bitcoin Inverse Futures (with J. Deng, Pan and Zhang, 2020). Applied Economics, 52(58), 6320-6337. [Journal]
15. A Set-Valued Markov Chain Approach to Credit Default (with Chen, Deng and Feng, 2020). Quantitative Finance, 20(4), 669-689. [Journal]
16. A Mathematical Analysis of Technical Analysis (with M. Lorig and Z. Zhou, 2019). Applied Mathematical Finance, Vol. 26, Issue 1, 38-68. [Journal]
17. Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty Under Partial Netting (with Z. Cui, Q. Feng and R. Hu, 2018). Operations Research Letters, Vol 46, Issue 3, 306-311. [Journal]
18. Optimal investment with transaction costs under cumulative prospect theory in discrete time (with R. Zagst, 2017). Mathematics and Financial Economics, 11(4), 393-421. [Journal]
19. Explicit solutions of optimal consumption, investment and insurance problems with regime switching (with A. Cadenillas, 2014). Insurance: Mathematics and Economics, 58, 159-167. [Journal]
20. Optimal investment and risk control policies for an insurer: expected utility maximization (with A. Cadenillas, 2014). Insurance: Mathematics and Economics, 58, 57-67. [Journal]