
Bin Zou
Associate Professor
bin.zou@uconn.edu | |
Phone | 860-486-3921 |
Office Location | MONT 428 |
Office Hours | Tuesdays 2 -- 3:20 PM |
Courses | MATH 3615; MATH 5639 |
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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Equilibrium reporting strategy: Two rate classes and full insurance (with Jingyi Cao, Dongchen Li, and Jenny Young, 2023).ÃÂ Journal of Risk and Insurance, accepted.ÃÂ [ResearchGate]
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Stackelberg reinsurance chain under model ambiguity (with Jingyi Cao, Dongchen Li, and Jenny Young, 2023).ÃÂ Scandinavian Actuarial Journal, accepted. [ResearchGate] [SSRN] [PDF]
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Reinsurance games with n variance-premium reinsurers: From tree to chain (with Jingyi Cao, Dongchen Li, and Jenny Young, 2023).ÃÂ ASTIN Bulletin, online first. [Journal] [PDF] [ResearchGate]
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Reinsurance games with two reinsurers: Tree versus chainÃÂ (with J. Cao, D. Li, and V.R. Young, 2023).ÃÂ European Journal of Operational Research,ÃÂ 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).ÃÂ Scandinavian Actuarial Journal, 2023(7), 735-763. [Journal] [PDF] [SSRN]
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Hedging with automatic liquidation and leverage selection on bitcoin futuresÃÂ (withÃÂ C. AlexanderÃÂ andÃÂ J. Deng, 2023).ÃÂ European Journal of Operational Research,ÃÂ 306(1), 478-493. [Journal]ÃÂ (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).ÃÂ 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).ÃÂ 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).ÃÂ SIAM Journal on Financial Mathematics,ÃÂ 13(4), SC99-112. [Journal] [PDF] [arXiv] [RG]
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Mean-varianceÃÂ portfolioÃÂ selection inÃÂ contagiousÃÂ markets (withÃÂ Y. Shen, 2022).ÃÂ SIAM Journal on Financial Mathematics,ÃÂ 13(2), 391-425. [Journal] [PDF] [arXiv]
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A perturbation approach to optimal investment, liability ratio, and dividend strategies (withÃÂ Z. JinÃÂ andÃÂ Z.Q. Xu, 2022).ÃÂ Scandinavian Actuarial Journal, 2022(2), 165-188. [Journal] [PDF] [arXiv]
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OptimalÃÂ feeÃÂ structure ofÃÂ variableÃÂ annuities (withÃÂ Gu Wang, 2021).ÃÂ Insurance: Mathematics and Economics,ÃÂ 101, 587-601.ÃÂ [Journal] [PDF] [SSRN]
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Optimal bitcoin trading with inverse futures (withÃÂ J. Deng, H. Pan, and S. Zhang, 2021).ÃÂ Annals of Operations Research, 304(1), 139-163. [Journal] [PDF] [SSRN] [ResearchGate]
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Optimal bookmaking (withÃÂ M. LorigÃÂ andÃÂ Z. Zhou, 2021).ÃÂ 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 (withÃÂ Y. Shen, 2021).ÃÂ 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 (withÃÂ J. Deng, 2021).ÃÂ Operations Research Letters, 49(2), 218-225. [PDF] [arXiv] [Journal]
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Bond indifference prices (withÃÂ M. Lorig, 2021).ÃÂ Quantitative Finance, 21(7), 1223-1233. [PDF] [ResearchGate] [SSRN] [Journal]