Dongchen Li

Assistant Professor, Mathematics & Statistics

MMath, PhD (Waterloo)
Office: Mackenzie Chown J424
(905) 688-5550

  • Stochastic control in finance and insurance
  • Optimal insurance design
  • Retirement planning
  • Machine learning in finance and insurance
  • Landriault, D., Li, B., Li, D., and Wang, Y.  (2021). High-Water mark fee structure in variable annuities. Journal of Risk and Insurance (in press).
  • Li, D., and Young, V.R. (2020). Maximizing utility of consumption with a constraint on expected time in poverty. Annals of Finance 16, 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.
  • MATH 3P75 (Fall 2021)
  • MATH 2P75 (Winter 2022)