Sheng Chao Zhuang

University of Nebraska Lincoln

Lincoln, NE 68588

United States

SCHOLARLY PAPERS

9

DOWNLOADS

432

CITATIONS

25

Scholarly Papers (9)

1.

Optimal Reinsurance with One Insurer and Multiple Reinsurers

Number of pages: 27 Posted: 11 Jul 2015
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang
University of Amsterdam, University of Waterloo and University of Nebraska Lincoln
Downloads 139 (206,812)

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optimal reinsurance design, distortion risk measure, distortion premium principle, multiple reinsurers, representative reinsurer

2.

Optimal Dynamic Reinsurance Policies Under Mean – CVaR – A Generalized Denneberg’s Absolute Deviation Principle

Number of pages: 31 Posted: 14 Mar 2018
Ken Seng Tan, Pengyu Wei, Wei Wei and Sheng Chao Zhuang
University of Waterloo, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of Waterloo - Department of Statistics and Actuarial Science and University of Nebraska Lincoln
Downloads 74 (317,674)
Citation 1

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Dynamical Reinsurance, Mean-CVaR Premium Principle, Denneberg’s Absolute Deviation Principle, Ruin Probability

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 54 (373,366)
Citation 5

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

4.

How Does Consumption Habit Affect the Household's Demand for Life-Contingent Claims?

Number of pages: 45 Posted: 31 Jul 2018
Ken Seng Tan, Pengyu Wei and Sheng Chao Zhuang
University of Waterloo, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of Nebraska Lincoln
Downloads 53 (376,502)

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5.

Pricing in Reinsurance Bargaining with Comonotonic Additive Utility Functions

ASTIN Bulletin 46 (2), 507-530, 2016
Number of pages: 26 Posted: 29 Feb 2016 Last Revised: 23 May 2016
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang
University of Amsterdam, University of Waterloo and University of Nebraska Lincoln
Downloads 47 (396,587)

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Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences

6.

Optimal Reinsurance with Multiple Reinsurers: Competitive Pricing and Coalition Stability

Number of pages: 29 Posted: 22 Mar 2018
Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang
University of Amsterdam, University of Waterloo and University of Nebraska Lincoln
Downloads 40 (422,276)

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reinsurance, multiple reinsurers, competition, premiums, Mean Conditional Value-at-Risk

7.

Marginal Indemnification Function Formulation for Optimal Reinsurance

Insurance: Mathematics and Economics, Vol. 67, 2016
Number of pages: 28 Posted: 06 Feb 2017
Sheng Chao Zhuang, Chengguo Weng, Ken Seng Tan and Hirbod Assa
University of Nebraska Lincoln, University of Waterloo, University of Waterloo and University of Liverpool
Downloads 16 (542,564)
Citation 1

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optimal reinsurance, marginal indemnification function, Lagrangian dual method, distortion risk measure, inverse-S shaped distortion premium principle

8.

CDF Formulation for Solving an Optimal Reinsurance Problem

Weng, C., Zhuang, S.C., 2016. CDF Formulation for solving an optimal reinsurance problem. Scandinavian Actuarial Journal
Number of pages: 30 Posted: 06 Feb 2017
Chengguo Weng and Sheng Chao Zhuang
University of Waterloo and University of Nebraska Lincoln
Downloads 9 (585,549)

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CDF formulation, Lagrangian dual method, optimal reinsurance, survival probability maximization, background risk, generalized Wang’s premium principle

9.

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 (666,984)
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Abstract:

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