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.)

1. Equilibrium reporting strategy: Two rate classes and full insurance (with Jingyi Cao, Dongchen Li, and Jenny Young, 2023). Journal of Risk and Insurance, accepted. [ResearchGate]

2. Stackelberg reinsurance chain under model ambiguity (with Jingyi Cao, Dongchen Li, and Jenny Young, 2023). Scandinavian Actuarial Journal, accepted. [ResearchGate] [SSRN] [PDF]

3. Reinsurance games with n variance-premium reinsurers: From tree to chain (with Jingyi Cao, Dongchen Li, and Jenny Young, 2023). ASTIN Bulletin, online first. [Journal] [PDF] [ResearchGate]

4. 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]

5. 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]

6. 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]

7. 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]

8. 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]

9. 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]

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

11. 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]

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

13. 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]

14. Optimal bookmaking (with M. Lorig and Z. Zhou, 2021). European Journal of Operational Research, 295(2), 560-574. [Journal] [PDF] [ResearchGate] [SSRN] [arXiv]

15. 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]

16. 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]

17. Bond indifference prices (with M. Lorig, 2021). Quantitative Finance, 21(7), 1223-1233. [PDF] [ResearchGate] [SSRN] [Journal]