Details about Yichun Chi

Access statistics for papers by Yichun Chi.

Last updated 2025-09-10. Update your information in the RePEc Author Service.

Short-id: pch1003

Working Papers

2024

1. Optimal insurance design under asymmetric Nash bargaining
   Post-Print, HAL
   See also Journal Article Optimal insurance design under asymmetric Nash bargaining, Insurance: Mathematics and Economics, Elsevier (2024) (2024)

2022

2. S-shaped narrow framing, skewness and the demand for insurance
   Post-Print, HAL View citations (7)
   See also Journal Article S-shaped narrow framing, skewness and the demand for insurance, Insurance: Mathematics and Economics, Elsevier (2022) View citations (7) (2022)

2021

3. Distributionally robust goal-reaching optimization in the presence of background risk
   Papers, arXiv.org
   See also Journal Article Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk, North American Actuarial Journal, Taylor & Francis Journals (2022) View citations (1) (2022)

2020

4. Variance Contracts
   Papers, arXiv.org

Journal Articles

2025

1. On the optimality of straight deductibles under smooth ambiguity aversion
   Journal of Economic Behavior & Organization, 2025, 234, (C)

2024

2. An insurer's optimal strategy towards a new independent business
   Scandinavian Actuarial Journal, 2024, 2024, (1), 89-107
3. Optimal insurance design under asymmetric Nash bargaining
   Insurance: Mathematics and Economics, 2024, 119, (C), 194-209
   See also Working Paper Optimal insurance design under asymmetric Nash bargaining, Post-Print (2024) (2024)
4. Variance insurance contracts
   Insurance: Mathematics and Economics, 2024, 115, (C), 62-82

2023

5. Optimal risk management with reinsurance and its counterparty risk hedging
   Insurance: Mathematics and Economics, 2023, 113, (C), 274-292 View citations (3)

2022

6. Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk
   North American Actuarial Journal, 2022, 26, (3), 351-382 View citations (1)
   See also Working Paper Distributionally robust goal-reaching optimization in the presence of background risk, Papers (2021) (2021)
7. Regret-based optimal insurance design
   Insurance: Mathematics and Economics, 2022, 102, (C), 22-41 View citations (6)
8. S-shaped narrow framing, skewness and the demand for insurance
   Insurance: Mathematics and Economics, 2022, 105, (C), 279-292 View citations (7)
   See also Working Paper S-shaped narrow framing, skewness and the demand for insurance, Post-Print (2022) View citations (7) (2022)

2021

9. Enhancing an insurer's expected value by reinsurance and external financing
   Insurance: Mathematics and Economics, 2021, 101, (PB), 466-484 View citations (1)
10. OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK
    ASTIN Bulletin, 2021, 51, (2), 661-688 View citations (5)
11. Risk sharing with multiple indemnity environments
    European Journal of Operational Research, 2021, 295, (2), 587-603 View citations (13)

2020

12. A Bowley solution with limited ceded risk for a monopolistic reinsurer
    Insurance: Mathematics and Economics, 2020, 91, (C), 188-201 View citations (6)
13. Optimal insurance with background risk: An analysis of general dependence structures
    Finance and Stochastics, 2020, 24, (4), 903-937 View citations (15)
14. Optimal insurance with belief heterogeneity and incentive compatibility
    Insurance: Mathematics and Economics, 2020, 92, (C), 104-114 View citations (9)
15. Optimal reinsurance designs based on risk measures: a review
    Statistical Theory and Related Fields, 2020, 4, (1), 1-13 View citations (25)
16. Responses to discussions on ‘Optimal reinsurance designs based on risk measures: a review’
    Statistical Theory and Related Fields, 2020, 4, (1), 26-27 View citations (24)

2019

17. ON THE OPTIMALITY OF A STRAIGHT DEDUCTIBLE UNDER BELIEF HETEROGENEITY
    ASTIN Bulletin, 2019, 49, (1), 243-262 View citations (18)

2018

18. Insurance choice under third degree stochastic dominance
    Insurance: Mathematics and Economics, 2018, 83, (C), 198-205 View citations (2)
19. OPTIMUM INSURANCE CONTRACTS WITH BACKGROUND RISK AND HIGHER-ORDER RISK ATTITUDES
    ASTIN Bulletin, 2018, 48, (3), 1025-1047 View citations (5)

2017

20. Optimal Reinsurance Design: A Mean-Variance Approach
    North American Actuarial Journal, 2017, 21, (1), 1-14 View citations (4)
21. Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle
    North American Actuarial Journal, 2017, 21, (3), 417-432 View citations (8)
22. Optimal insurance design in the presence of exclusion clauses
    Insurance: Mathematics and Economics, 2017, 76, (C), 185-195 View citations (3)

2016

23. THE DESIGN OF AN OPTIMAL RETROSPECTIVE RATING PLAN
    ASTIN Bulletin, 2016, 46, (1), 141-163 View citations (1)

2015

24. Optimal non-life reinsurance under Solvency II Regime
    Insurance: Mathematics and Economics, 2015, 65, (C), 227-237 View citations (8)

2014

25. Multivariate reinsurance designs for minimizing an insurer’s capital requirement
    Insurance: Mathematics and Economics, 2014, 59, (C), 144-155 View citations (7)
26. OPTIMAL REINSURANCE WITH LIMITED CEDED RISK: A STOCHASTIC DOMINANCE APPROACH
    ASTIN Bulletin, 2014, 44, (1), 103-126 View citations (8)
27. Optimal reinsurance arrangements in the presence of two reinsurers
    Scandinavian Actuarial Journal, 2014, 2014, (5), 424-438 View citations (2)

2013

28. Optimal reinsurance subject to Vajda condition
    Insurance: Mathematics and Economics, 2013, 53, (1), 179-189 View citations (14)
29. Optimal reinsurance with general premium principles
    Insurance: Mathematics and Economics, 2013, 52, (2), 180-189 View citations (51)

2012

30. Are Flexible Premium Variable Annuities Under-Priced?
    ASTIN Bulletin, 2012, 42, (2), 559-574 View citations (9)
31. Optimal reinsurance under variance related premium principles
    Insurance: Mathematics and Economics, 2012, 51, (2), 310-321 View citations (19)
32. Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability
    ASTIN Bulletin, 2012, 42, (2), 529-557 View citations (19)

2011

33. On the threshold dividend strategy for a generalized jump-diffusion risk model
    Insurance: Mathematics and Economics, 2011, 48, (3), 326-337 View citations (9)
34. Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
    ASTIN Bulletin, 2011, 41, (2), 487-509 View citations (62)

2010

35. An insurance risk model with stochastic volatility
    Insurance: Mathematics and Economics, 2010, 46, (1), 52-66 View citations (3)
36. Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
    Insurance: Mathematics and Economics, 2010, 46, (2), 385-396 View citations (9)

2009

37. Decomposition of a Schur-constant model and its applications
    Insurance: Mathematics and Economics, 2009, 44, (3), 398-408 View citations (12)