Pokfulam Road
Hong Kong
China
University of Hong Kong
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Aumann-Shapley value, non-differentiability, piecewise linear fuzzy games, Mertens value, capital allocation
Solvency II, Solvency Capital Requirement, Expected Shortfall, Value-at-Risk
Dynamic Capital Allocation, Euler Rule, Proportional Rule, Simulation, Value-at-Risk
Risk management; peer-to-peer network; risk sharing; multi-period optimization; mean-variance objective; financial fairness.
Non-Convex Preferences, Risk Sharing, Pareto Optimality, Sunspots, Rank-Dependent Utility
Capital allocation, Euler rule, fuzzy core, Aumann-Shapley value, risk measures
optimal reinsurance design, distortion risk measure, distortion premium principle, multiple reinsurers, representative reinsurer
Game theory, Open-and closed-loop equilibrium, Competitive markets, Multiple lines of business. JEL classification: G22, C61, C72
Climate change, flood risk, spatial diversification, risk sharing, Pareto optimality, layer-type indemnities
Competitive Insurance Markets, Incomplete Information, Bayesian Nash Equilibrium, Combined Ratio. JEL classification: G22, C72, C73, C11
Optimal Insurance, Ambiguity, Multiple Priors, Maxmin-Expected Utility, Heterogeneous Beliefs
Risk management; Pareto optimal insurance; Cooperative game theory; Robust decision-making
Competitive equilibria, comonotone market, dual utilities, rank-dependent utilities, pricing kernel
Risk management; Nash equilibrium; Cyber risk; Cybersecurity; Cyber insurance; Network contagion
simplex, capital allocation, dynamic management
mortality, economic growth, spatial lag model, mortality forecasting, annuity pricing
Optimal reinsurance design, distortion risk measures, distortion premium principle, heterogeneous beliefs, multiple reinsurers
Longevity Risk, Consumer Price Index, Gross Domestic Product, Forecasting
reinsurance, multiple reinsurers, competition, premiums, Mean Conditional Value-at-Risk
Risk management, optimal insurance, distortion risk measure, L2 distance, L1 distance, Tail Value-at-Risk
insurance, limited liability, partial equilibrium, recovery rules, incentive compatibility
Reinsurance, Pareto-optimality, default risk, investment, solvency regulation
Insurance Market Competition; Premium Cycles; Solvency Ratio; Open-Loop Nash Equilibrium, Finite-time differential game
Risk Management, Optimal Reinsurance, Pareto Optimality, Bowley Optimality, Convex Risk Measures
Optimal reinsurance, Bowley optima, Stackelberg equilibria, Subgame perfect Nash equilibria, Pareto efficiency, Choquet pricing, Heterogeneous beliefs
Insurance mechanisms, risk sharing, contingent premium, COVID-19
insurance contract theory, multiple policyholders, heterogeneous preferences, proportional insurance.
Competitive markets, non-cooperative game theory, convex and concave demand functions, stochastic claims
Pareto optimal risk sharing, competitive equilibria, expected utility, dual utility
Risk management, Optimal insurance, Multiple risk environments, Value-at-Risk, Tail Value-at-Risk, Heterogeneous beliefs, Environment-specific layer indemnities
optimal reinsurance design, heterogeneous beliefs, multiple reinsurers, representative reinsurer, deductible
Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences
longevity risk, bargaining, risk redistribution, over-the-counter trade
Risk Sharing, Pareto Optimality, Heterogeneous Beliefs, Probability Distortion, Exposure Constraints
Optimal insurance, mean-variance optimization, background risk, marginal indemnity function
optimal reinsurance, distortion risk measure, Vajda condition, backward-forward optimization, Pareto-optimal reinsurance
Bowley insurance, expected net profit, safety loading factor, Pareto optimality
Peer-to-peer risk sharing, heterogeneous risks, infinite-mean losses, first-order stochastic dominance, convex order
Risk-sharing, rank-dependent expected utility, comonotonicity, calculus of variations
Consumption; Retirement expenditure; Affordability; Text analysis; Gender of decision maker
stochastic cost allocation, egalitarian solution, rationing, constrained equal awards rule, proportional rule
Stackelberg equilibrium, Nash equilibrium, Insurance duopoly, Game theory
Mortality modeling, forecasting, multiple populations, sparse group LASSO, spatial-temporal weights
Optimal insurance, robustness, distortion risk measure, Wasserstein distance, Glue-VaR
credit card fraud detection, machine learning, class imbalance, ensemble learning, cost-sensitive analysis