Junlei Hu

University of Essex

Wivenhoe Park

Colchester, Essex CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

518

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

Optimal Non-Life Reinsurance under Solvency II Regime

Insurance: Mathematics and Economics (2015), 65, 227-237
Number of pages: 22 Posted: 23 Feb 2015 Last Revised: 03 Dec 2015
Cass Business School, City, University of London, China Institute for Actuarial Science, Central University of Finance and Economics and University of Essex
Downloads 213 (158,597)
Citation 1

Abstract:

Loading...

Optimal Reinsurance, Risk Margin, General Premium Principle, Solvency II, Technical Provision, Value at Risk, Conditional Value at Risk.

2.

Optimal Risk Transfer: A Numerical Optimisation Approach

North American Actuarial Journal, Forthcoming.
Number of pages: 29 Posted: 20 Jun 2016 Last Revised: 18 Dec 2017
Cass Business School, City, University of London, University of Bath - School of Mathematical Sciences, University of Essex and Queen Mary, University of London
Downloads 129 (243,701)
Citation 3

Abstract:

Loading...

Linear Programming, Optimal Reinsurance/Risk Transfer, Risk Measure, Second-Order Conic Programming

3.

Robust and Pareto Optimality of Insurance Contracts

European Journal of Operational Research, 262(2), pp. 720–732. doi:10.1016/j.ejor.2017.04.029.
Number of pages: 32 Posted: 03 Sep 2016 Last Revised: 08 Feb 2018
Cass Business School, City, University of London, Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, The University of Hong Kong, University of Essex and Queen Mary, University of London
Downloads 92 (308,573)
Citation 3

Abstract:

Loading...

Uncertainty modelling, Linear programming, Robust/Pareto optimal insurance, Risk measure, Robust optimisation

4.

Optimal Robust Insurance with a Finite Uncertainty Set

Number of pages: 32 Posted: 29 Jan 2018 Last Revised: 31 Mar 2019
Cass Business School, City, University of London, University of Essex and University of International Business and Economics (UIBE)
Downloads 66 (374,130)
Citation 1

Abstract:

Loading...

Optimal reinsurance, Risk measure, Robust optimisation, Second order conic programming, Uncertainty modelling

5.

Pareto-Optimal Insurance Contracts With Premium Budget and Minimum Charge Constraints

Number of pages: 22 Posted: 13 Jan 2020
Cass Business School, City, University of London, The University of Hong Kong, University of Illinois at Urbana-Champaign - Department of Mathematics and University of Essex
Downloads 18 (586,998)

Abstract:

Loading...

Bargaining power, Minimum charge, Optimal insurance contract design, Pareto optimality, Premium budget, Proportional Hazard Transformation, Tail Value-at-Risk, Value-at-Risk