Zuo Quan Xu

Hong Kong Polytechnic University

Hung Hom

Kowloon, 0

Hong Kong

SCHOLARLY PAPERS

8

DOWNLOADS

268

SSRN CITATIONS

6

CROSSREF CITATIONS

19

Scholarly Papers (8)

1.

Optimal Stopping Under Probability Distortion

Number of pages: 39 Posted: 12 Mar 2011
Zuo Quan Xu and Xun Yu Zhou
Hong Kong Polytechnic University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 91 (295,808)
Citation 3

Abstract:

Loading...

optimal stopping, probability distortion, Choquet expectation, probability distribution/qunatile function, Skorokhod embedding problem, $S$-shaped and reverse $S$-shaped function

2.

Dual Utilities on Risk Aggregation under Dependence Uncertainty

Finance and Stochastics, Forthcoming
Number of pages: 25 Posted: 30 Nov 2017 Last Revised: 30 Jun 2019
Ruodu Wang, Zuo Quan Xu and Xun Yu Zhou
University of Waterloo - Department of Statistics and Actuarial Science, Hong Kong Polytechnic University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 77 (327,360)
Citation 1

Abstract:

Loading...

Dual Utility; Conditional Joint Mixability; Risk Aggregation; Dependence Uncertainty; Pessimism Effect

3.

Optimal Insurance with Rank-Dependent Utility and Increasing Indemnities

Number of pages: 33 Posted: 15 Sep 2015
Zuo Quan Xu, Xun Yu Zhou and Sheng Chao Zhuang
Hong Kong Polytechnic University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Nebraska Lincoln
Downloads 58 (380,358)
Citation 7

Abstract:

Loading...

optimal insurance design, rank-dependent utility theory, Yaari’s dual criterion, probability weighting function, moral hazard, indemnity function, retention function, quantile formulation

4.

Quantile Optimization Under Derivative Constraint

Number of pages: 15 Posted: 07 Mar 2018
Zuo Quan Xu
Hong Kong Polytechnic University
Downloads 21 (541,047)
Citation 1

Abstract:

Loading...

Quantile Optimization, Probability Weighting/Distortion, Relaxation Method, Insurance Contract Design, Free Boundary Problem, Calculus of Variations

5.

Rank-Dependent Utility Maximization Under Risk Exposure Constraint

Number of pages: 22 Posted: 09 Mar 2018
Peizhen Ding and Zuo Quan Xu
Chinese Academy of Sciences (CAS) and Hong Kong Polytechnic University
Downloads 19 (553,414)

Abstract:

Loading...

Rank-dependent utility theory, probability distortion/weighting function, quantile formulation, VaR, tail VaR, relaxation method

6.

Optimal Redeeming Strategy of Stock Loans with Finite Maturity

Mathematical Finance, Vol. 21, Issue 4, pp. 775-793, 2011
Number of pages: 19 Posted: 23 Aug 2011
Min Dai and Zuo Quan Xu
National University of Singapore (NUS) - Department of Mathematics and Hong Kong Polytechnic University
Downloads 2 (670,194)
  • Add to Cart

Abstract:

Loading...

stock loans, finite maturity, optimal strategy, optimal stopping

7.

Optimal Insurance Under Rank‐Dependent Utility and Incentive Compatibility

Mathematical Finance, Vol. 29, Issue 2, pp. 659-692, 2019
Number of pages: 34 Posted: 13 Mar 2019
Zuo Quan Xu, Xun Yu Zhou and Sheng Chao Zhuang
Hong Kong Polytechnic University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Nebraska Lincoln
Downloads 0 (699,602)
  • Add to Cart

Abstract:

Loading...

incentive compatibility, indemnity function, moral hazard, optimal insurance design, probability weighting function, quantile formulation, rank‐dependent utility theory, retention function

8.

A Note on the Quantile Formulation

Mathematical Finance, Vol. 26, Issue 3, pp. 589-601, 2016
Number of pages: 13 Posted: 10 Jun 2016
Zuo Quan Xu
Hong Kong Polytechnic University
Downloads 0 (699,602)
Citation 3
  • Add to Cart

Abstract:

Loading...

portfolio choice/selection, behavioral finance, law‐invariant, quantile formulation, probability weighting/distortion function, change‐of‐variable, relaxation method, calculus of variations, CPT, RDUT, time consistency, atomic, atomless/nonatomic, functional optimization problem