Junlei Hu

University of Essex

Wivenhoe Park

Colchester, Essex CO4 3SQ

United Kingdom

  • University of Essex

SCHOLARLY PAPERS

6

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627

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12

CROSSREF CITATIONS

4

Scholarly Papers (6)

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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
Alexandru Vali Asimit, Yichun Chi and Junlei Hu
Cass Business School, City, University of London, China Institute for Actuarial Science, Central University of Finance and Economics and University of Essex
Downloads 235 (200,763)
Citation 1

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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
Alexandru Vali Asimit, Tao Gao, Tao Gao, Junlei Hu and Eun-Seok Kim
Cass Business School, City, University of London, University College LondonUniversity of Bath - School of Mathematical Sciences, University of Essex and Queen Mary, University of London
Downloads 145 (307,207)
Citation 3

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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
Alexandru Vali Asimit, Valeria Bignozzi, Ka Chun Cheung, Junlei Hu and Eun-Seok Kim
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 107 (384,617)
Citation 7

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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
Alexandru Vali Asimit, Junlei Hu and Yuantao Xie
Cass Business School, City, University of London, University of Essex and University of International Business and Economics (UIBE)
Downloads 86 (443,403)
Citation 1

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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
Alexandru Vali Asimit, Ka Chun Cheung, Wing Fung Chong and Junlei Hu
Cass Business School, City, University of London, The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Essex
Downloads 37 (657,572)

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

6.

Optimal Reinsurance with Multivariate Risks and Dependence Uncertainty

Number of pages: 28 Posted: 15 Mar 2023
Tolulope Fadina, Junlei Hu, Peng Liu and Yi Xia
University of Essex, University of Essex, University of Essex and University of Essex - Department of Mathematics
Downloads 17 (802,750)

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Optimal reinsurance; Multivariate risks; Dependence uncertainty; Value-at-Risk; Expected Shortfall; Range-Value-at-Risk.