Sheng Chao Zhuang

University of Nebraska Lincoln

Lincoln, NE 68588

United States

SCHOLARLY PAPERS

11

DOWNLOADS

576

SSRN CITATIONS

14

CROSSREF CITATIONS

24

Scholarly Papers (11)

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 146 (244,268)

Abstract:

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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 Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Nebraska Lincoln
Downloads 89 (346,447)
Citation 3

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

3.

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 Waterloo - Department of Statistics and Actuarial Science and University of Nebraska Lincoln
Downloads 63 (420,841)

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4.

Annuity and Insurance Choice Under Habit Formation

Number of pages: 44 Posted: 01 May 2020
Phelim P. Boyle, Ken Seng Tan, Pengyu Wei and Sheng Chao Zhuang
Wilfrid Laurier University - School of Business & Economics, University of Waterloo, University of Waterloo - Department of Statistics and Actuarial Science and University of Nebraska Lincoln
Downloads 62 (424,140)

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Habit Formation; Life-Cycle Model; Life Insurance; Annuity

5.

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 62 (424,140)
Citation 3

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

6.

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
The Hong Kong Polytechnic University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Nebraska Lincoln
Downloads 62 (424,140)
Citation 8

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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

7.

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 49 (472,456)
Citation 3

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Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences

8.

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 Kent Business School
Downloads 17 (648,678)
Citation 8

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

9.

Variance Contracts

Number of pages: 42 Posted: 27 Aug 2020
Yichun Chi, Xun Yu Zhou and Sheng Chao Zhuang
Central University of Finance and Economics (CUFE), Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Nebraska Lincoln
Downloads 16 (655,869)
Citation 1

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insurance design; expected value principle; variance; incentive compatibility; comparative statics

10.

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 10 (701,145)

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

11.

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
The Hong Kong Polytechnic University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Nebraska Lincoln
Downloads 0 (794,000)
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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