Xiaoshan Su

Beihang University (BUAA)

37 Xue Yuan Road

Beijing 100083

China

SCHOLARLY PAPERS

4

DOWNLOADS

100

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps

Forthcoming, Asia-Pacific Financial Markets
Number of pages: 42 Posted: 19 Jan 2018 Last Revised: 27 Mar 2020
Olivier Le Courtois and Xiaoshan Su
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and Beihang University (BUAA)
Downloads 47 (430,255)
Citation 2

Abstract:

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Structural model; Regime switching; Jump-diffusion; Matrix Wiener-Hopf factorization; Esscher transform; CoCos; Deposit insurance; Fluid embedding; Markov chain

2.

Pricing and Hedging Defaultable Participating Contracts with Regime Switching and Jump Risk

Forthcoming, Decisions in Economics and Finance
Number of pages: 35 Posted: 16 Dec 2019 Last Revised: 27 Mar 2020
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control, EMLYON Business School and Beihang University (BUAA)
Downloads 27 (520,723)
Citation 1

Abstract:

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Participating life insurance, Credit risk, Regime switching, Jump-diffusion, Matrix Wiener-Hopf factorization

3.

Robust Portfolio Selection with Regime Switching R-Vine Copulas

Number of pages: 30 Posted: 07 May 2020
Xiaoshan Su, Manying Bai and Yingwei Han
Beihang University (BUAA), Beihang University (BUAA) and China University of Geosciences, Beijing
Downloads 14 (602,054)
Citation 1

Abstract:

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Robust portfolio optimization, Asymmetric dependence, Regime switching, R-Vine copulas, Extreme tail dependence, WSCVaR

4.

Optimal Insurance for Prudent Risk Averters and Risk Lovers

Number of pages: 36 Posted: 08 Jan 2020
EMLYON Business School, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and Beihang University (BUAA)
Downloads 12 (615,774)

Abstract:

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Third degree risk, Risk lovers, Dual limited stop-loss insurance, Limited change-loss insurance, Limited dual change-loss insurance, Limited stop-loss insurance, Background risk