Bin Zou

University of Connecticut - Department of Mathematics

341 Mansfield Road U1009

Department of Mathematics

Storrs, CT 06269-1069

United States

SCHOLARLY PAPERS

25

DOWNLOADS

3,162

TOTAL CITATIONS

33

Ideas:
“  optimal bookmaking; optimal consumption/investment; optimal control in systemic risk; optimal hedging ...  ”

Scholarly Papers (25)

1.

Hedging with Automatic Liquidation and Leverage Selection on Bitcoin Futures

Number of pages: 30 Posted: 19 Jan 2021 Last Revised: 22 Apr 2022
Carol Alexander, Jun Deng and Bin Zou
University of Sussex Business School, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Connecticut - Department of Mathematics
Downloads 619 (92,768)
Citation 10

Abstract:

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Cryptocurrency; Leverage; Liquidation; Perpetual Swap; Extreme Value Theorem

2.

Optimal Bitcoin Trading with Inverse Futures

Number of pages: 31 Posted: 24 Aug 2019
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 286 (226,787)
Citation 5

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Bitcoin; Inverse Futures; Optimal Investment; Utility Maximization

3.

Risk Structure and Optimal Hedging of Bitcoin Inverse Futures

Number of pages: 34 Posted: 25 Sep 2019
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 237 (274,035)

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Bitcoin, Inverse futures, Minimum-variance hedging, High-order risk

4.

Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty Under Partial Netting

Number of pages: 23 Posted: 28 Oct 2016 Last Revised: 18 Jan 2018
Zhenyu Cui, Qi Feng, Ruimeng Hu and Bin Zou
Stevens Institute of Technology - School of Business, University of Connecticut, University of California, Santa Barbara (UCSB) and University of Connecticut - Department of Mathematics
Downloads 222 (291,914)
Citation 2

Abstract:

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Clearing Counterparty (CCP), Clearing Fee, Optimization, Shortfall, Systemic Risk

5.

A Mathematical Analysis of Technical Analysis

A Mathematical Analysis of Technical Analysis. Applied Mathematical Finance, 26(1), 38-68, 2019
Number of pages: 29 Posted: 30 Jun 2019
Matthew Lorig, Zhou Zhou and Bin Zou
University of Washington - Applied Mathematics, The University of Sydney - School of Mathematics and University of Connecticut - Department of Mathematics
Downloads 178 (358,476)

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Long-term growth; Continuous-time Markov chain; Moving average; Optimal investment; Ornstein-Uhlenbeck process; Partial information; Simulation; Utility maximization

6.

Minimum-Variance Hedging of Bitcoin Inverse Futures

Accepted in Applied Economics
Number of pages: 29 Posted: 18 Mar 2020 Last Revised: 07 Jul 2020
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 172 (369,400)
Citation 7

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Bitcoin, Futures, Hedging efficiency, Risk management

7.

Mean-Variance Tradeoff of Bitcoin Inverse Futures

Accepted by Blockchain https://elspublishing.com/journals/blockchain/home/
Number of pages: 15 Posted: 24 Mar 2020 Last Revised: 13 Jun 2024
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), Zhongnan University of Economics and Law and University of Connecticut - Department of Mathematics
Downloads 153 (408,493)

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Bitcoin, Downside risk, Futures, Volatility JEL Classification: G32, G11

8.

Optimal Bookmaking

Accepted for publication in European Journal of Operational Research
Number of pages: 35 Posted: 09 Jul 2019 Last Revised: 06 Mar 2021
Matthew Lorig, Zhou Zhou and Bin Zou
University of Washington - Applied Mathematics, The University of Sydney - School of Mathematics and University of Connecticut - Department of Mathematics
Downloads 133 (457,246)

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HJB equation; optimization; Poisson process; sports betting; stochastic control; utility

9.

Stackelberg Differential Game for Insurance Under Model Ambiguity

Number of pages: 31 Posted: 29 Dec 2021
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 122 (489,422)

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Stackelberg differential game, Insurance, Ambiguity, Mean-variance premium principle, Random time horizon

10.

Liquidity Provision and Its Information Content in Decentralized Markets

Number of pages: 33 Posted: 11 Oct 2023
Tian Chen, Jun Deng, Qi Fu and Bin Zou
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Connecticut - Department of Mathematics
Downloads 111 (529,271)

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Automatic Market Making, Uniswap, Liquidity Strategy, Decentralized Exchanges

11.

Optimal Fee Structure of Variable Annuities

Number of pages: 25 Posted: 07 May 2021
Gu Wang and Bin Zou
Worcester Polytechnic Institute and University of Connecticut - Department of Mathematics
Downloads 111 (525,769)
Citation 1

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Barrier strategy, Free boundary, Hamilton-Jacobi-Bellman equation, Quasi-variational inequalities, Reflected stochastic differential equations

12.

A Set-Valued Markov Chain Approach to Credit Default

Number of pages: 41 Posted: 12 Sep 2018 Last Revised: 06 Oct 2019
Nankai University, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Connecticut - Department of Mathematics
Downloads 95 (586,731)

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credit risk; collateral default obligation (CDO); Markov chain; jump diffusion; tranche spread

13.

Reinsurance Games with Two Reinsurers: Tree Versus Chain

European Journal of Operational Research, Forthcoming; https://doi.org/10.1016/j.ejor.2023.04.005
Number of pages: 37 Posted: 03 May 2023
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 88 (615,472)

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Game theory, Stackelberg differential game, non-cooperative Nash game, Optimal reinsurance, Ambiguity

14.

Optimal Loss Reporting in Continuous Time with Full Insurance

Number of pages: 36 Posted: 22 May 2024 Last Revised: 06 Feb 2025
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 87 (619,772)

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Barrier strategy, bonus-malus system, exponential utility, moral hazard

15.

Stackelberg Reinsurance Chain Under Model Ambiguity

Scandinavian Actuarial Journal, Forthcoming
Number of pages: 34 Posted: 25 Aug 2022 Last Revised: 15 Mar 2024
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 86 (624,210)
Citation 3

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Knightian uncertainty, Ambiguity, mean-variance premium principle, Stackelberg differential game, Reinsurance

16.

Liquidity Provision and its Information Content In Decentralized Markets

Number of pages: 53 Posted: 20 Sep 2023 Last Revised: 05 Mar 2025
Tian Chen, Jun Deng, Qi Fu and Bin Zou
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics and University of Connecticut - Department of Mathematics
Downloads 69 (712,386)
Citation 1

Abstract:

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G14, G15

17.

Co-opetition in Reinsurance Markets: When Pareto Meets Stackelberg and Nash

Number of pages: 32 Posted: 11 Feb 2025
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 66 (723,858)

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Co-opetition, Risk sharing, Pareto optimality, Stackelberg reinsurance game, Nash equilibrium

18.

Bond Indifference Prices

Quantitative Finance, Forthcoming
Number of pages: 23 Posted: 19 Jan 2021
Matthew Lorig and Bin Zou
University of Washington - Applied Mathematics and University of Connecticut - Department of Mathematics
Downloads 65 (729,564)

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Bond, Pricing, Risk Neutral, Stochastic Interest, Yield

19.

Stackelberg Differential Game for Insurance under Model Ambiguity: General Divergence

Accepted for publication in Scandinavian Actuarial Journal
Number of pages: 37 Posted: 18 Nov 2022
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 54 (807,414)

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Stackelberg differential game, Insurance, Ambiguity, Expected-value premium principle, Random time horizon

20.

Equilibrium Loss Reporting for a Risk-Averse Insured of Deductible Insurance

Number of pages: 24 Posted: 23 Aug 2023
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 51 (822,170)

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moral hazard, underreporting losses, deductible insurance, bonus-malus system, Nash equilibrium

21.

Optimal Insurance to Maximize Exponential Utility When Premium is Computed by a Convex Functional

Forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 12 Posted: 13 Feb 2024
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 44 (878,639)
Citation 2

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Optimal insurance, numerical algorithm, convex premium functional

22.

A Dynamic Credibility Model with Self-Excitation and Exponential Decay

Proceedings of the 2022 Winter Simulation Conference
Number of pages: 10 Posted: 02 Nov 2022
Himchan Jeong and Bin Zou
Simon Fraser University - Department of Statistics and Actuarial Science and University of Connecticut - Department of Mathematics
Downloads 38 (933,169)

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23.

Continuous-Time Optimal Reporting with Full Insurance under the Mean-Variance Criterion

Insurance: Mathematics and Economics
Number of pages: 31 Posted: 20 Dec 2024
York University, York University, University of Michigan at Ann Arbor - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 33 (983,267)
Citation 1

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JEL classification: C61, G22 barrier strategies, insurance, loss reporting, mean-variance,

24.

Development of Telematics Risk Scores in Accordance with Regulatory Compliance

Number of pages: 26 Posted: 31 Jan 2025
Simon Fraser University- Department of Statistics and Actuarial Science, Simon Fraser University - Department of Statistics and Actuarial Science and University of Connecticut - Department of Mathematics
Downloads 24 (1,085,443)

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telematics insurance, usage based insurance (UBI), insurance regulations, machine learning, risk score, generalized linear models (GLMs)

25.

A Two-Layer Stochastic Game Approach to Reinsurance Contracting and Competition

Number of pages: 29 Posted: 11 May 2024
Zongxia Liang, Yi Xia and Bin Zou
Tsinghua University, affiliation not provided to SSRN and University of Connecticut - Department of Mathematics
Downloads 18 (1,185,169)
Citation 1

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Game theory, Stackelberg game, Non-cooperative Nash game, Optimal reinsurance, Relative performance