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
  • Insurance Economics
  • Digital transformation of insurance industry

Peer-Reviewd Journal Articles

  1. Cao, J., Li, D., Young, V.R., and Zou, B. (2026). Equilibrium Strategies for Singular Dividend Control Problems under the Mean-Variance Criterion. SIAM Journal on Control and Optimization. Forthcoming.
  2. Cao, J., Li, D., Young, V.R., and Zou, B. (2025). Equilibrium Mean-Variance Dividend Rate Strategies. SIAM Journal on Financial Mathematics. Forthcoming.
  3. 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.
  4. Cao, J., Li, D., Young, V.R., and Zou, B. (2025). Optimal Proportional Insurance under Claim Habit. ASTIN Bulletin. Forthcoming.
  5. Cao, J., Li, D., Young, V.R., and Zou, B. (2025). Optimal Loss Reporting in Continuous Time with Full Insurance. SIAM Journal on Financial Mathematics 16(2), 448-479.
  6. Li, D., Zeng, Y., and Zhao, Y. (2025). The impact of intermediaries on insurance demand and pricing. Insurance: Mathematics and Economics 122, 143-156.
  7. 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.
  8. Cao, J., Li, D., Young, V.R., and Zou, B. (2024). Strategic underreporting and optimal deductible insurance. ASTIN Bulletin 54(3), 767-790.
  9. 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.
  10. 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.
  11. Cao, J., Li, D., Young, V.R., and Zou, B. (2023). Stackelberg reinsurance chain under model ambiguity. Scandinavian Actuarial Journal 2024(4), 329-360.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.

Grants

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