Haiyan Liu

Michigan State University - Department of Mathematics

619 Red Cedar Road

East Lansing, MI 48824

United States

SCHOLARLY PAPERS

8

DOWNLOADS

1,541

SSRN CITATIONS
Rank 16,836

SSRN RANKINGS

Top 16,836

in Total Papers Citations

65

CROSSREF CITATIONS

19

Scholarly Papers (8)

1.
Downloads 637 (78,677)
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 492 (107,339)
Citation 4

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 145 (371,046)
Citation 9

Abstract:

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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 178 (311,639)
Citation 2

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

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 119 (433,296)

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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 47 (750,280)
Citation 4

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

4.

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 153 (354,874)
Citation 12

Abstract:

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

5.

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 139 (383,160)
Citation 17

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

Worst-case risk with unspecified risk preferences

Number of pages: 20 Posted: 04 Apr 2022
Haiyan Liu
Michigan State University - Department of Mathematics
Downloads 96 (506,796)

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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 12 (1,072,838)

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

7.

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 104 (476,420)
Citation 1

Abstract:

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

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 56 (678,398)

Abstract:

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