Research Interests

  • Stochastic optimal decision-making in insurance and finance
  • Development of modern insurance products (e.g., variable annuities)
  • Emerging risks: cyber risk and AI-related risk
  • Data science applications in insurance and finance
  • Digital transformation of insurance industry

Publications

  • Cao, J., Li, D., Young, V.R., and Zou, B. (2025). Equilibrium Mean-Variance Dividend Rate Strategies. SIAM Journal of Financial Mathematics. Forthcoming.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2025). Co-opetition in reinsurance markets: when Pareto meets Stackelberg and Nash. Insurance: Mathematics and Economics. Forthcoming.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2025). Optimal Proportional Insurance under Claim Habit. ASTIN Bulletin. Forthcoming.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2025). Optimal Loss Reporting in Continuous Time with Full Insurance. SIAM Journal of Financial Mathematics 16(2), 448-479.
  • Li, D., Zeng, Y., and Zhao, Y. (2025). The impact of intermediaries on insurance demand and pricing. Insurance: Mathematics and Economics 122, 143-156.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2024). Continuous-Time Optimal Reporting with Full Insurance under the Mean-Variance Criterion. Insurance: Mathematics and Economics 120, 79-90.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2024). Strategic underreporting and optimal deductible insurance. ASTIN Bulletin 54(3), 767-790.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2024). Optimal Insurance to Maximize Exponential Utility under a Convex Premium Principle. SIAM Journal of Financial Mathematics 15(1), SC15-SC27.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2023). Equilibrium reporting strategy: two rate classes and full insurance. Journal of Risk and Insurance 91(3), 721-752.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2023). Stackelberg reinsurance chain under model ambiguity. Scandinavian Actuarial Journal 2024(4), 329-360.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2023). Reinsurance game with n variance-premium reinsurers: from tree to chain. ASTIN Bulletin 53(3), 706-728.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2023). Reinsurance game with two reinsurers: tree vs chain. European Journal of Operational Research 310(2), 928-941.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2023). Stackelberg differential game for insurance under model ambiguity: general divergence. Scandinavian Actuarial Journal 2023(7), 735-763.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2022). Stackelberg differential game for insurance under model ambiguity. Insurance: Mathematics and Economics 106, 128-145.
  • Landriault, D., Li, B., Li, D., and Wang, Y. (2021). High-water mark fee structure in variable annuities. Journal of Risk and Insurance 88(4), 1057-1094.
  • Li, D., and Young, V.R. (2020). Maximizing expected exponential utility of consumption with a constraint on expected time in poverty. Annals of Finance 16(1), 63-99.
  • Li, D., Li, D., and Young, V.R. (2017). Optimality of excess-loss reinsurance under a mean–variance criterion. Insurance: Mathematics and Economics 75, 82-89.
  • Landriault, D., Li, B., Li, D., and Li, D. (2016). A pair of optimal reinsurance-investment strategies in the two-sided exit framework. Insurance: Mathematics and Economics 71, 284-294.
  • Chen, X., Landriault, D., Li, B., and Li, D. (2015). On minimizing drawdown risks of lifetime investments. Insurance: Mathematics and Economics 65, 46-54.

Pre-Publication Manuscripts

  • Dai, M., Li, B., Li, D., and Wang, Y. (2025+). Risk sharing pricing of variable annuities within a principal-agent framework. Submitted for publication.
  • Cao, J., Li, D., Young, V.R., and Zou, B. (2025+). Equilibrium Strategies for Singular Dividend Control Problems under the Mean-Variance Criterion. Submitted for publication.

Grants

  • 2022–2027: NSERC Discovery Grant (RGPIN-2022-04958, PI)
  • 2022–2027: NSERC Discovery Grant Supplement