Details about Yichun Chi

Access statistics for papers by Yichun Chi.

Last updated 2024-04-07. Update your information in the RePEc Author Service.

Short-id: pch1003

Working Papers

2022

1. S-shaped narrow framing, skewness and the demand for insurance
   Post-Print, HAL View citations (4)
   See also Journal Article S-shaped narrow framing, skewness and the demand for insurance, Insurance: Mathematics and Economics, Elsevier (2022) View citations (4) (2022)

2021

2. 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

3. Variance Contracts
   Papers, arXiv.org

Journal Articles

2024

1. Variance insurance contracts
   Insurance: Mathematics and Economics, 2024, 115, (C), 62-82

2023

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

2022

3. 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)
4. Regret-based optimal insurance design
   Insurance: Mathematics and Economics, 2022, 102, (C), 22-41 View citations (6)
5. S-shaped narrow framing, skewness and the demand for insurance
   Insurance: Mathematics and Economics, 2022, 105, (C), 279-292 View citations (4)
   See also Working Paper S-shaped narrow framing, skewness and the demand for insurance, Post-Print (2022) View citations (4) (2022)

2021

6. Enhancing an insurer's expected value by reinsurance and external financing
   Insurance: Mathematics and Economics, 2021, 101, (PB), 466-484 View citations (1)
7. OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK
   ASTIN Bulletin, 2021, 51, (2), 661-688 View citations (4)
8. Risk sharing with multiple indemnity environments
   European Journal of Operational Research, 2021, 295, (2), 587-603 View citations (11)

2020

9. A Bowley solution with limited ceded risk for a monopolistic reinsurer
   Insurance: Mathematics and Economics, 2020, 91, (C), 188-201 View citations (5)
10. Optimal insurance with background risk: An analysis of general dependence structures
    Finance and Stochastics, 2020, 24, (4), 903-937 View citations (14)
11. Optimal insurance with belief heterogeneity and incentive compatibility
    Insurance: Mathematics and Economics, 2020, 92, (C), 104-114 View citations (8)
12. Optimal reinsurance designs based on risk measures: a review
    Statistical Theory and Related Fields, 2020, 4, (1), 1-13 View citations (20)
13. 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 (19)

2019

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

2018

15. Insurance choice under third degree stochastic dominance
    Insurance: Mathematics and Economics, 2018, 83, (C), 198-205 View citations (1)
16. OPTIMUM INSURANCE CONTRACTS WITH BACKGROUND RISK AND HIGHER-ORDER RISK ATTITUDES
    ASTIN Bulletin, 2018, 48, (3), 1025-1047 View citations (4)

2017

17. Optimal Reinsurance Design: A Mean-Variance Approach
    North American Actuarial Journal, 2017, 21, (1), 1-14 View citations (4)
18. 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)
19. Optimal insurance design in the presence of exclusion clauses
    Insurance: Mathematics and Economics, 2017, 76, (C), 185-195 View citations (3)

2016

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

2015

21. Optimal non-life reinsurance under Solvency II Regime
    Insurance: Mathematics and Economics, 2015, 65, (C), 227-237 View citations (7)

2014

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

2013

25. Optimal reinsurance subject to Vajda condition
    Insurance: Mathematics and Economics, 2013, 53, (1), 179-189 View citations (14)
26. Optimal reinsurance with general premium principles
    Insurance: Mathematics and Economics, 2013, 52, (2), 180-189 View citations (50)

2012

27. Are Flexible Premium Variable Annuities Under-Priced?
    ASTIN Bulletin, 2012, 42, (2), 559-574 View citations (8)
28. Optimal reinsurance under variance related premium principles
    Insurance: Mathematics and Economics, 2012, 51, (2), 310-321 View citations (18)
29. Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability
    ASTIN Bulletin, 2012, 42, (2), 529-557 View citations (19)

2011

30. On the threshold dividend strategy for a generalized jump-diffusion risk model
    Insurance: Mathematics and Economics, 2011, 48, (3), 326-337 View citations (9)
31. Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
    ASTIN Bulletin, 2011, 41, (2), 487-509 View citations (60)

2010

32. An insurance risk model with stochastic volatility
    Insurance: Mathematics and Economics, 2010, 46, (1), 52-66 View citations (3)
33. 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

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