Michael Boyuan Zhu

Michael Boyuan Zhu

PhD Candidate
Actuarial Science

Research

Peer-Reviewed Journal Articles

  1. Ghossoub, M., Zhu, M.B., and Chong, W.F. Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures. ASTIN Bulletin, forthcoming. [arXiv]
  2. Ghossoub, M., and Zhu, M.B. (2025). Risk-Constrained Portfolio Choice under Rank-Dependent Utility. Finance and Stochastics, 29(2):399-442.
  3. Ghossoub, M., and Zhu, M.B. (2024). Stackelberg Equilibria with Multiple Policyholders. Insurance: Mathematics and Economics, 116(1):189-201.
  4. Coke, O., Ghossoub, M., and Zhu, M.B. (2024). Pareto-Optimal Insurance with an Upper Limit on the Insurer’s Exposure. Scandinavian Actuarial Journal, 2024(3):227-251.
  5. Zhu, M.B., Boonen, T.J., and Ghossoub, M. (2023). Equilibria and Efficiency in a Reinsurance Market. Insurance: Mathematics and Economics, 113(1):24-49.

Pre-publication Manuscripts and Working Papers

  1. Ghossoub, M., and Zhu, M.B. Efficiency in Pure-Exchange Economies with Risk-Averse Monetary Utilities. Submitted. [arXiv]
  2. Ghossoub, M., and Zhu, M.B. Loss Aversion for Decision under Risk. Working paper.

Academic Presentations

  1. Efficiency and Equilibria in (Re)Insurance Markets. Quantact Actuarial and Financial Mathematics Research Seminar (Jan. 2025).
  2. Pareto-Efficient Contracts in Centralized vs. Decentralized Insurance Markets. 27th International Congress on Insurance: Mathematics and Economics (Jul. 2024).
  3. Equilibria and Efficiency in a Reinsurance Market. 26th International Congress on Insurance: Mathematics and Economics (Jul. 2023).
  4. Insurance with Heterogeneous Beliefs: A Sequential Game Model. Waterloo 3rd Student Conference in Statistics, Actuarial Science, and Finance (Oct. 2022).
  5. Risk Sharing with Heterogeneous Beliefs. University of Amsterdam (Jun. 2022).
  6. Risk-Constrained Portfolio Choice via Quantiles. Waterloo 2nd Student Conference in Statistics, Actuarial Science, and Finance (Nov. 2021), 56th Actuarial Research Conference (Aug. 2021), 24th International Congress on Insurance: Mathematics and Economics (Jul. 2021).
  7. Cost-Efficient Contingent Claims with Choquet Pricing. Canadian Operational Research Society Annual Conference (Jun. 2021), University of Waterloo Statistics and Actuarial Science Presentation Day (Feb. 2021).