Pengyu Wei

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
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
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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