Wenjun Jiang

University of Calgary

Assistant Professor

612 Campus Place N.W.

University of Calgary

Calgary, Alberta T2N 1N4

Canada

SCHOLARLY PAPERS

13

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951

SSRN CITATIONS
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21

CROSSREF CITATIONS

1

Scholarly Papers (13)

1.

On Pareto-Optimal Reinsurance with Constraints Under Distortion Risk Measures

Number of pages: 27 Posted: 20 Apr 2017
Wenjun Jiang, Hanping Hong and Jiandong Ren
University of Calgary, University of Western Ontario and University of Western Ontario
Downloads 114 (440,098)
Citation 6

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Pareto-optimal reinsurance, distortion risk measure, constraints, Value-at-Risk, Tail Value-at-Risk

2.

Robust insurance design with distortion risk measures

European Journal of Operational Research
Number of pages: 33 Posted: 27 Dec 2022 Last Revised: 06 Feb 2024
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 107 (461,111)

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Risk management, optimal insurance, distortion risk measure, L2 distance, L1 distance, Tail Value-at-Risk

3.

Pareto-optimal Reinsurance with Default Risk and Solvency Regulation

Probability in the Engineering and Informational Sciences
Number of pages: 34 Posted: 16 Mar 2021 Last Revised: 09 Mar 2022
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 101 (480,371)
Citation 1

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Reinsurance, Pareto-optimality, default risk, investment, solvency regulation

4.

Optimal Reinsurance Policies When the Interests of Both the Cedent and the Reinsurer are Taken into Account

Number of pages: 29 Posted: 21 Sep 2016
Wenjun Jiang, Jiandong Ren and Ricardas Zitikis
University of Calgary, University of Western Ontario and Western University
Downloads 98 (490,123)
Citation 2

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optimal reinsurance

5.

On Optimal Reinsurance Treaties in Cooperative Game under Heterogeneous Beliefs

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 32 Posted: 22 Aug 2018 Last Revised: 19 Dec 2018
Wenjun Jiang, Jiandong Ren, Chen Yang and Hanping Hong
University of Calgary, University of Western Ontario, Wuhan University and University of Western Ontario
Downloads 92 (510,508)

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Cooperative Game, Heterogeneous Beliefs, Expected Utility, Pareto-optimal Reinsurance, Nash Equilibrium, Kalai-Smorodinsky Equilibrium

6.

Pareto-optimal Reinsurance Under Individual Risk Constraints

Number of pages: 27 Posted: 30 Dec 2021
Mario Ghossoub, Wenjun Jiang and Jiandong Ren
University of Waterloo, University of Calgary and University of Western Ontario
Downloads 82 (547,999)
Citation 1

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Reinsurance, Pareto optimality, risk constraints, distortion risk measures, Range Value-at-Risk

7.

Pareto-optimal Reinsurance Policies with Maximal Synergy

Number of pages: 27 Posted: 19 Mar 2019 Last Revised: 08 Aug 2019
Wenjun Jiang, Hanping Hong and Jiandong Ren
University of Calgary, University of Western Ontario and University of Western Ontario
Downloads 74 (581,454)
Citation 1

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Optimal Reinsurance, Maximal Synergy, Pareto-Optimal Reinsurance, Nash Bargaining Solution, Multi-Layered Policy

8.

Optimal Insurance for a Prudent Decision-Maker Under Heterogeneous Beliefs

Number of pages: 27 Posted: 07 Dec 2021 Last Revised: 19 Apr 2022
Mario Ghossoub, Wenjun Jiang and Jiandong Ren
University of Waterloo, University of Calgary and University of Western Ontario
Downloads 69 (604,200)
Citation 1

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Optimal insurance, heterogeneous beliefs, no-sabotage condition, marginal indemnity function, likelihood ratio

9.

A Marginal Indemnity Function Approach to Optimal Reinsurance under the Vajda Condition

European Journal of Operational Research, 2022
Number of pages: 38 Posted: 29 Mar 2021 Last Revised: 06 Feb 2024
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 61 (643,596)

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optimal reinsurance, distortion risk measure, Vajda condition, backward-forward optimization, Pareto-optimal reinsurance

10.

Mean-Variance Insurance Design with Counterparty Risk and Incentive Compatibility

ASTIN Bulletin, 2022
Number of pages: 24 Posted: 28 Jul 2021 Last Revised: 06 Feb 2024
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 58 (659,613)
Citation 3

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Optimal insurance, mean-variance optimization, background risk, marginal indemnity function

11.

Bilateral risk sharing in a comonotone market with rank-dependent utilities

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 31 Posted: 02 Feb 2022 Last Revised: 20 Sep 2022
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 49 (712,203)

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Risk-sharing, rank-dependent expected utility, comonotonicity, calculus of variations

12.

Bowley Insurance with Expected Utility Maximization of the Policyholders

North American Actuarial Journal, Forthcoming
Number of pages: 24 Posted: 13 Apr 2023
Tim J. Boonen and Wenjun Jiang
University of Hong Kong and University of Calgary
Downloads 46 (731,303)

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Bowley insurance, expected net profit, safety loading factor, Pareto optimality

13.

Mean–variance insurance design under heterogeneous beliefs

Journal of Risk, Vol. 26, No. 2, 2023
Number of pages: 28 Posted: 06 Dec 2023
Yanhong Chen, Wenjun Jiang and Yiying Zhang
Hunan University - School of Finance and Statistics, University of Calgary and Southern University of Science and Technology
Downloads 0 (1,122,226)
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Abstract:

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optimal insurance, belief heterogeneity, mean–variance optimization, stop-loss function, efficient frontier