Fangda Liu

Georgia State University

Assistant Professor

35 Broad St NW

Apt 1110

Atlanta, GA 30303

United States

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

422

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Competitive Equilibria in a Comonotone Market

Economic Theory, forthcoming
Number of pages: 39 Posted: 27 Dec 2017 Last Revised: 01 Oct 2020
Tim J. Boonen, Fangda Liu, Fangda Liu and Ruodu Wang
University of Amsterdam, University of Waterloo - Department of Statistics and Actuarial ScienceGeorgia State University and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 118 (303,112)
Citation 3

Abstract:

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Competitive equilibria, comonotone market, dual utilities, rank-dependent utilities, pricing kernel

2.

Inf-convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures

Mathematics of Operations Research, forthcoming
Number of pages: 44 Posted: 05 Dec 2019 Last Revised: 18 Jan 2022
Fangda Liu, Fangda Liu, Tiantian Mao, Ruodu Wang and Linxiao Wei
University of Waterloo - Department of Statistics and Actuarial ScienceGeorgia State University, University of Science and Technology of China (USTC) - Department of Statistics and Finance, University of Waterloo - Department of Statistics and Actuarial Science and Wuhan University of Technology
Downloads 116 (306,722)

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Risk sharing, Pareto optimality, Value-at-Risk, Range-Value-at-Risk, Non-convex optimization

3.

Convex Risk Functionals: Representation and Applications

Number of pages: 31 Posted: 07 Aug 2018 Last Revised: 22 Oct 2019
Fangda Liu, Fangda Liu, Jun Cai, Christiane Lemieux and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial ScienceGeorgia State University, University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 102 (334,951)

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Law-Invariant Convex Risk Functional, Dual Representation, Robust Evaluation, Optimal Reinsurance Design, Budget Constraint

4.

Optimal Reinsurance in a Market of Multiple Reinsurers Under Law-Invariant Convex Risk Measures

Number of pages: 23 Posted: 02 Nov 2017
Jun Cai, Christiane Lemieux, Fangda Liu, Fangda Liu and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial ScienceGeorgia State University and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 53 (480,676)
Citation 1

Abstract:

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Optimal reinsurance design, convex risk measure, Wang's premium principle

5.

Insurance With Heterogeneous Preferences

Number of pages: 33 Posted: 08 Oct 2020
Tim J. Boonen, Fangda Liu and Fangda Liu
University of Amsterdam and University of Waterloo - Department of Statistics and Actuarial ScienceGeorgia State University
Downloads 26 (617,447)

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insurance contract theory, multiple policyholders, heterogeneous preferences, proportional insurance.

6.

A Fourier-Cosine Method for Finite-Time Ruin Probabilities

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 38 Posted: 30 Apr 2021
Wing Yan Lee, Xiaolong Li, Fangda Liu, Fangda Liu, Yifan Shi and S. C. P. Yam
The Hang Seng University of Hong Kong - Department of Mathematics and Statistics, Southern University of Science and Technology, University of Waterloo - Department of Statistics and Actuarial ScienceGeorgia State University, Southern University of Science and Technology and The Chinese University of Hong Kong. Department of Statistics
Downloads 7 (759,867)

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