Hailong Liu

Shanghai Jiao Tong University (SJTU)

Professor

KoGuan Law School

Shanghai 200030, Shanghai 200052

China

SCHOLARLY PAPERS

2

DOWNLOADS

563

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

A New Method to Choose the Threshold in the Pot Model

Number of pages: 7 Posted: 22 May 2007
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) - Aetna School of Management, Shanghai Jiao Tong University (SJTU) and Shanghai Jiao Tong University (SJTU)
Downloads 550 (49,579)
Citation 4

Abstract:

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POT, Threshold selection, Hill plot

2.

Optimal Investment Policy for Insurers under the Constant Elasticity of Variance Model

Number of pages: 21 Posted: 26 Oct 2018
Xiaotao Liu and Hailong Liu
Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students and Shanghai Jiao Tong University (SJTU)
Downloads 13 (568,877)

Abstract:

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Optimal portfolio choice, Constant elasticity of variance, Hamilton-Jacobi-Bellman equation, Feynman-Kac formula, Confluent hypergeometric function