Research

Research Interests

Actuarial Science; Quantitative Risk Management; Insurance; Financial Mathematics

Publications and Manuscripts

• Fan, Y., Jiao, Z. and Wang, R. (2024). Testing mean and variance by e-processes. Accepted by Biometrika, forthcoming.
• Guan, Y., Jiao, Z. and Wang, R. (2023). A reverse ES (CVaR) optimization formula. North American Actuarial Journal 28(3), 611-625.
• Cai, J., Jiao, Z. and Mao, T. (2023). Worst-case target semi-variances with applications to robust portfolio selection. Submitted to European Journal of Operational Research (under review) [arXiv].
• Jiao, Z., Kou, S., Liu, Y. and Wang, R. (2022). An axiomatic theory for anonymized risk sharing. Submitted to Journal of Political Economy (under review) [arXiv].

Academic Presentations

• The 26th International Congress on Insurance: Mathematics and Economics - Edinburgh, U.K. (2023)
  • Title: “Worst-case upper partial moment risk measures with application to robust portfolio selection” [Slides]
• Waterloo Student Conference in Statistics, Actuarial Science and Finance - Waterloo, Canada (2022)
  • Title: “An axiomatic theory for anonymized risk sharing” [Slides]
• 57th Actuarial Research Conference - Urbana-Champaign, U.S. (2022)
  • Title: “A reverse Expected Shortfall optimization formula” [Slides]
• The 25th International Congress on Insurance: Mathematics and Economics - Guangzhou, China (Online) (2022)
  • Title: “A reverse Expected Shortfall optimization formula” [Slides]
• The 23rd International Congress on Insurance: Mathematics and Economics - Munich, Germany (2019)
  • Title: “Optimal retention rate in risk pooling arrangement with moral hazard”