Fangda Liu

University of Waterloo - Department of Statistics and Actuarial Science

200 University Ave.

Waterloo, Ontario N2L 3G1 N2L3G1

Canada

SCHOLARLY PAPERS

8

DOWNLOADS

846

SSRN CITATIONS
Rank 47,364

SSRN RANKINGS

Top 47,364

in Total Papers Citations

15

CROSSREF CITATIONS

4

Scholarly Papers (8)

1.

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
University of Waterloo - Department of Statistics and Actuarial Science, 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 238 (243,603)

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

2.

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 and Ruodu Wang
University of Hong Kong, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 141 (387,007)
Citation 8

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

3.

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 134 (402,755)
Citation 3

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

4.

Worst-case Risk Measures of Stop-Loss and Limited Loss Random Variables Under Distribution Uncertainty With Applications to Robust Reinsurance

Number of pages: 41 Posted: 25 Apr 2023 Last Revised: 01 Mar 2024
Jun Cai, Fangda Liu and Mingren Yin
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 87 (546,800)
Citation 1

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Stop-loss, limited loss, uncertainty set, Wasserstein distance, distortion risk measure, tail value-at-risk, quantile function, min-max problem, robust stop-loss reinsurance.

5.

Insurance With Heterogeneous Preferences

Journal of Mathematical Economics, Forthcoming
Number of pages: 35 Posted: 08 Oct 2020 Last Revised: 05 Jul 2022
Tim J. Boonen and Fangda Liu
University of Hong Kong and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 85 (554,744)
Citation 1

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

6.

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 82 (566,793)
Citation 1

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

7.

Worst-Case Reinsurance Strategy with Likelihood Ratio Uncertainty

Number of pages: 35 Posted: 04 Apr 2024
David Landriault, Fangda Liu and Ziyue Shi
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 48 (741,639)

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Worst-case scenario, likelihood ratio uncertainty, expectile, tail risk measures, robustness

8.

A Fourier-Cosine Method for Finite-Time Ruin Probabilities

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 38 Posted: 30 Apr 2021
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 Science, Southern University of Science and Technology and The Chinese University of Hong Kong. Department of Statistics
Downloads 31 (868,945)

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