Yichun Chi

Central University of Finance and Economics (CUFE)

39 South College Road

Haidian District

Beijing, Beijing 100081

China

SCHOLARLY PAPERS

4

DOWNLOADS

307

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Revisiting Optimal Insurance Design Under Smooth Ambiguity Aversion

Number of pages: 44 Posted: 25 Jul 2022
Yichun Chi, Richard Peter and Wei Wei
Central University of Finance and Economics (CUFE), University of Iowa and University of Wisconsin - Milwaukee
Downloads 101 (479,686)

Abstract:

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insurance design, risk sharing, ambiguity, deductible, no-sabotage condition, comparative statics

2.

Optimal Risk Management with Reinsurance and its Counterparty Risk Hedging

Number of pages: 30 Posted: 22 Feb 2023
Yuxia Huang, Yichun Chi and Tao Hu
Central University of Finance and Economics, Central University of Finance and Economics (CUFE) and Central University of Finance and Economics
Downloads 94 (502,786)

Abstract:

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Counterparty risk, Hedging, Mossin's theorem, No-sabotage condition, Optimal reinsurance design

3.

Risk Sharing with Multiple Indemnity Environments

European Journal of Operational Research, forthcoming
Number of pages: 41 Posted: 25 Jun 2020 Last Revised: 08 Mar 2021
City University London - The Business School, University of Hong Kong, Central University of Finance and Economics (CUFE) and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 77 (567,586)
Citation 5

Abstract:

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Risk management, Optimal insurance, Multiple risk environments, Value-at-Risk, Tail Value-at-Risk, Heterogeneous beliefs, Environment-specific layer indemnities

4.

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 35 (808,787)
Citation 1

Abstract:

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