Haiyan Liu

Michigan State University - Department of Mathematics

619 Red Cedar Road

East Lansing, MI 48824

United States

SCHOLARLY PAPERS

8

DOWNLOADS

1,299

SSRN CITATIONS
Rank 16,348

SSRN RANKINGS

Top 16,348

in Total Papers Citations

41

CROSSREF CITATIONS

26

Scholarly Papers (8)

1.
Downloads 577 ( 72,067)
Citation 8

Quantile-Based Risk Sharing

Forthcoming, Operations Research
Number of pages: 40 Posted: 10 Mar 2016 Last Revised: 30 Dec 2017
Paul Embrechts, Haiyan Liu and Ruodu Wang
Swiss Federal Institute of Technology Zurich, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 468 (92,380)
Citation 5

Abstract:

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Value-at-Risk, Expected Shortfall, risk sharing, regulatory capital, robustness

Quantile-Based Risk Sharing

Swiss Finance Institute Research Paper No. 17-54
Number of pages: 40 Posted: 10 Jan 2018
Paul Embrechts, Haiyan Liu and Ruodu Wang
Swiss Federal Institute of Technology Zurich, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 109 (372,208)
Citation 8

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Value-at-Risk, Expected Shortfall, risk sharing, regulatory capital, robustness, Arrow-Debreu equilibrium

2.

Collective Risk Models with Dependence Uncertainty

ASTIN Bulletin, Forthcoming
Number of pages: 29 Posted: 26 Mar 2016 Last Revised: 27 Feb 2017
Haiyan Liu and Ruodu Wang
Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 160 (276,383)
Citation 1

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collective risk model, Value-at-Risk, Expected Shortfall, dependence uncertainty, asymptotic equivalence

3.

Pareto-Optimal Reinsurance Arrangements Under General Model Settings

Number of pages: 35 Posted: 21 Dec 2016
Jun Cai, Haiyan Liu and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 127 (331,772)
Citation 11

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Pareto optimality, optimal reinsurance, comonotonic-semilinearity, comonotonic-convexity, Tail-Value-at-Risk

4.

Quantile-Based Risk Sharing with Heterogeneous Beliefs

Swiss Finance Institute Research Paper No. 17-65
Number of pages: 30 Posted: 06 Dec 2017 Last Revised: 17 Jul 2018
Swiss Federal Institute of Technology Zurich, Michigan State University - Department of Mathematics, University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 122 (341,721)
Citation 17

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Risk Sharing, Competitive Equilibrium, Belief Heterogeneity, Quantiles, Non-Convexity, Risk Measures

Distributionally Robust Reinsurance With Value-at-Risk and Conditional Value-at-Risk

Number of pages: 44 Posted: 23 May 2021
Haiyan Liu and Tiantian Mao
Michigan State University - Department of Mathematics and University of Science and Technology of China (USTC) - Department of Statistics and Finance
Downloads 95 (408,877)

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Value-at-Risk, Conditional Value-at-Risk, distributional robust reinsurance, uncertainty, stop-loss

Distributionally Robust Reinsurance with Value-at-Risk and Conditional Value-at-Risk

Number of pages: 43 Posted: 17 Feb 2022
Haiyan Liu and Tiantian Mao
Michigan State University - Department of Mathematics and University of Science and Technology of China (USTC) - Department of Statistics and Finance
Downloads 24 (754,409)

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Value-at-Risk, Conditional Value-at-Risk, distributional robust reinsurance, uncertainty, stop-loss

Asymptotic Equivalence of Risk Measures Under Dependence Uncertainty

Mathematical Finance, Forthcoming
Number of pages: 26 Posted: 20 Nov 2015 Last Revised: 23 Mar 2016
Jun Cai, Haiyan Liu and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 94 (411,769)
Citation 1

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risk aggregation; distortion risk measures; convex risk measures; dependence uncertainty; diversification

Asymptotic Equivalence of Risk Measures Under Dependence Uncertainty

Mathematical Finance, Vol. 28, Issue 1, pp. 29-49, 2018
Number of pages: 21 Posted: 17 Jan 2018
Jun Cai, Haiyan Liu and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 4 (955,719)
Citation 3

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risk aggregation, distortion risk measures, convex risk measures, dependence uncertainty, diversification

Worst-case risk with unspecified risk preferences

Number of pages: 20 Posted: 04 Apr 2022
Haiyan Liu
Michigan State University - Department of Mathematics
Downloads 55 (556,390)

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Value-at-Risk,distortion risk measure, preference robust, concavity[comma separated]

Worst-Case Risk with Unspecified Risk Preferences

Number of pages: 20 Posted: 06 Apr 2022
Haiyan Liu
Michigan State University - Department of Mathematics
Downloads 1 (999,111)

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Value-at-Risk, distortion risk measure, preference robust, concavity

8.

Weighted Comonotonic Risk Sharing Under Heterogeneous Beliefs

ASTIN Bulletin, 2020
Number of pages: 26 Posted: 09 Mar 2020
Haiyan Liu
Michigan State University - Department of Mathematics
Downloads 40 (623,285)

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Distortion Risk Measure, Heterogeneous Beliefs, Individual Rationality, Value-at-Risk, Tail-Value-at-Risk