Pengyu Wei

MaRDI QIDQ1757607zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A Stochastic Model of Mutual Insurance under Heterogeneous Time Preferences North American Actuarial Journal	2026-04-10	Paper
Optimal life insurance and annuity decisions under money illusion Insurance Mathematics & Economics	2025-11-25	Paper
Optimal Liquidity and Risk Management: The Use of CAT Bonds North American Actuarial Journal	2025-10-14	Paper
Dynamic growth-optimal portfolio choice under risk control European Journal of Operational Research	2025-05-19	Paper
Robust Risk Control with Reinsurance and CAT Bonds North American Actuarial Journal	2025-04-07	Paper
Optimal defined-contribution pension management with financial and mortality risks ASTIN Bulletin	2025-01-22	Paper
Tail mean-variance portfolio selection with estimation risk Insurance Mathematics & Economics	2024-05-24	Paper
Relative Growth Rate Optimization Under Behavioral Criterion SIAM Journal on Financial Mathematics	2023-11-23	Paper
State subsidized reinsurance programs: impacts on efficiency, premiums, and expenses of the U.S. health insurance markets European Journal of Operational Research	2023-07-03	Paper
Robust consumption and portfolio choice with derivatives trading European Journal of Operational Research	2022-09-09	Paper
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility SIAM Journal on Financial Mathematics	2022-08-22	Paper
Annuity and insurance choice under habit formation Insurance Mathematics & Economics	2022-07-15	Paper
Demand for non-life insurance under habit formation Insurance Mathematics & Economics	2021-11-19	Paper
Risk management with expected shortfall Mathematics and Financial Economics	2021-09-28	Paper
A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty North American Actuarial Journal	2021-04-28	Paper
Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle European Journal of Operational Research	2020-01-08	Paper
Derivatives trading for insurers Insurance Mathematics & Economics	2019-01-15	Paper
Risk management with weighted VaR Mathematical Finance	2018-11-02	Paper

Research outcomes over time

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