Michael Boyuan Zhu

Michael Boyuan Zhu

Assistant Professor
Actuarial Science
University of Hong Kong

Research

Peer-Reviewed Journal Articles

  1. Andraos, M., Ghossoub, M., and Zhu, M.B. (2026). Subgame Perfect Nash Equilibria in Large Reinsurance Markets. Insurance: Mathematics and Economics, 127(1):103210.
  2. Ghossoub, M., and Zhu, M.B. (2026). Efficiency in Pure-Exchange Economies with Risk-Averse Monetary Utilities. Mathematical Finance, 36(1):99-117.
  3. Ghossoub, M., Zhu, M.B., and Chong, W.F. (2025). Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures. ASTIN Bulletin, 55(3):537-563.
  4. Ghossoub, M., and Zhu, M.B. (2025). Risk-Constrained Portfolio Choice under Rank-Dependent Utility. Finance and Stochastics, 29(2):399-442.
  5. Ghossoub, M., and Zhu, M.B. (2024). Stackelberg Equilibria with Multiple Policyholders. Insurance: Mathematics and Economics, 116(1):189-201.
  6. 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.
  7. 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. Loss Aversion for Decision under Risk. Working paper.

Academic Presentations

  1. Pareto-Optimal Risk Sharing under Risk-Averse Preferences. Southern University of Science and Technology (Mar. 2026).
  2. Efficiency and Equilibria in (Re)Insurance Markets. Quantact Actuarial and Financial Mathematics Research Seminar (Jan. 2025).
  3. Pareto-Efficient Contracts in Centralized vs. Decentralized Insurance Markets. 27th International Congress on Insurance: Mathematics and Economics (Jul. 2024).
  4. Equilibria and Efficiency in a Reinsurance Market. 26th International Congress on Insurance: Mathematics and Economics (Jul. 2023).
  5. Insurance with Heterogeneous Beliefs: A Sequential Game Model. Waterloo 3rd Student Conference in Statistics, Actuarial Science, and Finance (Oct. 2022).
  6. Risk Sharing with Heterogeneous Beliefs. University of Amsterdam (Jun. 2022).
  7. 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).
  8. 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).