Haiyan Liu

Michigan State University - Department of Mathematics

619 Red Cedar Road

East Lansing, MI 48824

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 49,620

SSRN RANKINGS

Top 49,620

in Total Papers Downloads

919

SSRN CITATIONS
Rank 18,010

SSRN RANKINGS

Top 18,010

in Total Papers Citations

26

CROSSREF CITATIONS

27

Scholarly Papers (6)

1.
Downloads 475 ( 65,226)
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 424 (74,159)
Citation 5

Abstract:

Loading...

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 51 (425,541)
Citation 8

Abstract:

Loading...

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 131 (237,895)
Citation 1

Abstract:

Loading...

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 106 (277,604)
Citation 6

Abstract:

Loading...

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 100 (288,862)
Citation 15

Abstract:

Loading...

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

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 86 (320,682)
Citation 1

Abstract:

Loading...

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 1 (742,427)
Citation 1
  • Add to Cart

Abstract:

Loading...

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

6.

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 20 (567,147)

Abstract:

Loading...

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