Fangda Liu

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

4

DOWNLOADS

304

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Competitive Equilibria in a Comonotone Market

Number of pages: 36 Posted: 27 Dec 2017 Last Revised: 20 Nov 2019
Tim J. Boonen, Fangda Liu and Ruodu Wang
University of Amsterdam, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 107 (275,790)
Citation 3

Abstract:

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

2.

Convex Risk Functionals: Representation and Applications

Number of pages: 31 Posted: 07 Aug 2018 Last Revised: 22 Oct 2019
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 Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 95 (298,640)

Abstract:

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

3.

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

Number of pages: 23 Posted: 02 Nov 2017
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 Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 52 (414,941)
Citation 1

Abstract:

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

4.

Inf-convolution and Optimal Allocations for Tail Risk Measures

Number of pages: 25 Posted: 05 Dec 2019
Fangda Liu, Ruodu Wang and Linxiao Wei
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and Wuhan University of Technology
Downloads 50 (422,026)

Abstract:

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