Junlei Hu

University of Essex

Wivenhoe Park

Colchester, Essex CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

7

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858

SSRN CITATIONS
Rank 42,589

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Top 42,589

in Total Papers Citations

17

CROSSREF CITATIONS

4

Scholarly Papers (7)

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
City University London - The Business School, China Institute for Actuarial Science, Central University of Finance and Economics and University of Essex
Downloads 246 (228,542)
Citation 1

Abstract:

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

2.

Optimal Reinsurance with Multivariate Risks and Dependence Uncertainty

Number of pages: 36 Posted: 15 Mar 2023 Last Revised: 09 Aug 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 176 (311,525)

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

3.

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
City University London - The Business School, University of Essex - Department of Mathematics, University of Essex and Queen Mary, University of London
Downloads 166 (327,735)
Citation 3

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

4.

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
City University London - The Business School, 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 122 (419,214)
Citation 15

Abstract:

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

5.

Optimal Robust Insurance with a Finite Uncertainty Set

Number of pages: 32 Posted: 29 Jan 2018 Last Revised: 31 Mar 2019
City University London - The Business School, University of Essex and University of International Business and Economics (UIBE)
Downloads 98 (491,058)
Citation 1

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

6.

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

Number of pages: 22 Posted: 13 Jan 2020
City University London - The Business School, The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Essex
Downloads 47 (726,193)
Citation 1

Abstract:

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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

7.

A Numerical Investigation of Non-convex Reinsurance Problems Using a Method of Homotopy Optimisation With Perturbations and Ensembles

Number of pages: 17 Posted: 16 Apr 2024
Tao Gao, Junlei Hu and Yi Xia
University of Essex - Department of Mathematics, University of Essex and University of Essex - Department of Mathematics
Downloads 3 (1,100,603)

Abstract:

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Global optimisation, Homotopy method, Non-convex optimisation, Optimal reinsurance