YICHUN CHI

Research Professor

Contact Information

Address:	China Institute for Actuarial Science (CIAS) Central University of Finance and Economics (CUFE) Shahe Higher Education Park, Changping District, Beijing, P.R.China 102206
Email:	yichun@cufe.edu.cn
Telephone:

Employment

Ÿ Nov.2015 -Present              Research Professor                    

CIAS, CUFE

Ÿ July.2012-June.2013           Postdoctoral Fellow                        

Department of Statistical Sciences, University of Toronto

Ÿ Sept.2011-Oct.2015            Research Associate Professor        

        CIAS, CUFE  

Ÿ July.2009-Agu.2011             Research Assistant Professor          

CIAS,CUFE

Education

Ÿ July.2009                          Ph.D. Applied Mathematics,

Peking University (China),    

Ÿ Sept.2007-Dec.2008         Visiting PhD Student,

University of Toronto,          

Ÿ July 2004                           B.Sc. Mathematics and Applied Mathematics,

Renmin University (China),

Research Interests

Ÿ Actuarial Science, Risk management

Courses Taught

Ÿ Financial Mathematics; Actuarial Models; Advances in Risk Management; Reinsurance Practice

Publications

· Y. Chi,  S.C. Zhuang (2020). Optimal insurance with belief heterogeneity and incentive compatibility. Insurance: Mathematics and Economics, forthcoming.

· Y. Chi, K.S. Tan, S.C. Zhuang (2020). A Bowley solution with limited ceded risk for a monopolistic reinsurer. Insurance: Mathematics and Economics 91, 188-201.

· Y. Chi (2019). On the optimality of a straight deductible under belief heterogeneity. ASTIN Bulletin 49(1), 243-262.

· Y. Chi (2018). Insurance choice under third degree stochastic dominance. Insurance: Mathematics and Economics 83, 198-205.

· Y. Chi, W. Wei (2018). Optimum insurance contracts with background risk and higher-order risk attitudes. ASTIN Bulletin 48(3), 1025-1047.

· Y. Chi, F.D. Liu (2017). Optimal insurance design in the presence of exclusion clauses. Insurance: Mathematics and Economics 76, 185-195.

· Y. Chi, X.S. Lin, K.S. Tan (2017). Optimal reinsurance under the risk-adjusted value of an insurer's liability and an economic reinsurance premium principle. North American Actuarial Journal 21(3), 417-432.

· Y. Chi, M. Zhou (2017). Optimal reinsurance design: A mean-variance approach. North American Actuarial Journal 21(1), 1-14.

· X. Chen, Y. Chi, K.S. Tan (2016). The design of an optimal retrospective rating plan. ASTIN Bulletin 46(1), 141-163.

· V. Asimit, Y. Chi, J. Hu (2015). Optimal non-life reinsurance under Solvency II Regime. Insurance: Mathematics and Economics 65, 227-237.

· Y. Zhu, Y. Chi, C. Weng (2014). Multivariate reinsurance designs for minimizing an insurer's capital requirement. Insurance: Mathematics and Economics 59, 144-155.

· Y. Chi, H. Meng (2014). Optimal reinsurance arrangements in the presence of two reinsurers. Scandinavian Actuarial Journal 5, 424-438.

· Y. Chi, X.S. Lin (2014). Optimal reinsurance with limited ceded risk: A stochastic dominance approach. ASTIN Bulletin 44(1), 103-126.

· Y. Chi, C. Weng (2013). Optimal reinsurance subject to Vajda condition. Insurance: Mathematics and Economics 53(1), 179–189.

· Y. Chi, K.S. Tan (2013). Optimal reinsurance with general premium principles. Insurance: Mathematics and Economics 52(2), 180-189.

· Y. Chi (2012). Reinsurance arrangements minimizing the risk-adjusted value of an insurer's liability. ASTIN Bulletin 42(2), 529-557.

· Y. Chi, X.S. Lin (2012). Are flexible premium variable annuities underpriced? ASTIN Bulletin 42(2), 559-574.

· Y. Chi (2012). Optimal reinsurance under variance related premium principles. Insurance: Mathematics and Economics 51(2), 310-321.

· Y. Chi, K.S. Tan (2011). Optimal reinsurance under VaR and CVaR risk measures: A simplified approach. ASTIN Bulletin, 41(2), 487-509.

· Y. Chi, X.S. Lin (2011). On the threshold dividend strategy for a generalized jump-diffusion risk model. Insurance: Mathematics and Economics 48(3), 326-337.

· Y. Chi (2010). Analysis of expected discounted penalty function for a general jump diffusion risk model and applications in finance. Insurance: Mathematics and Economics 46(2), 385-396.

· Y. Chi, S. Jaimungal, X.S. Lin (2010). An insurance risk model with stochastic volatility. Insurance: Mathematics and Economics 46(1), 52-66.

· Y. Chi, J. Yang, Y. Qi (2009). Decomposition of a Schur-constant model and its applications. Insurance: Mathematics and Economics 44(3), 398-408.

Research Grants

· National Natural Science Foundation of China---General Program(Grant No. 11971505), September 2019. PI

· The MOE(China) Project of Key Research Institute of Humanities and Social Sciences at Universities (No. 16JJD790061, 2016-2020). PI.

· National Natural Science Foundation of China---General Program(Grant No. 11471345), September 2014. PI

· Committee on Knowledge Extension Research, Society of Actuaries. Research Grant (with Ken Seng Tan, X. Sheldon Lin), 2013-2014, Co-investigator.

· National Natural Science Foundation of China---Youth Program(Grant No. 11001283), September 2010. PI

Honours/Awards

Ÿ 2018    The Excellent Youth Scholar of CUFE.

Ÿ 2017   The best paper of the Ninth China Insurance Education Forum, Third Prize.

Ÿ 2017   Faculty Research Award, Central University of Finance and Economics.

Ÿ 2015   The best paper of the Eighth China Insurance Education Forum, Third Prize.

Ÿ 2014   Faculty Research Award, Central University of Finance and Economics.

Ÿ 2012   Charles A. Hachemeister Prize, Casualty Actuarial Society. (Shared with Ken Seng Tan).