Zobrazeno 1 - 10
of 19
pro vyhledávání: '"Fangda Liu"'
Publikováno v:
Shipin Kexue, Vol 45, Iss 6, Pp 285-293 (2024)
Myofibrillar protein (MP) is an important protein in muscle, which can form a three-dimensional gel network structure upon heat treatment, ultimately influencing the quality of meat products. In the meat industry, hydrocolloids from different are inc
Externí odkaz:
https://doaj.org/article/1d17776d3e464646a9b58b9c6ca9b7ed
Publikováno v:
Mathematics of Operations Research. 47:2494-2519
Inspired by the recent developments in risk sharing problems for the value at risk (VaR), the expected shortfall (ES), and the range value at risk (RVaR), we study the optimization of risk sharing for general tail risk measures. Explicit formulas of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7eff4b2c707e4845e63862fc7d8fdb09
https://doi.org/10.1287/moor.2021.1217
https://doi.org/10.1287/moor.2021.1217
Publikováno v:
Frontiers of Structural and Civil Engineering. 16:817-842
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7eea2a5ca5c3b67089dcef0a0c94de23
https://doi.org/10.1007/s11709-022-0844-y
https://doi.org/10.1007/s11709-022-0844-y
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::abeafc36acbdd3b5da1ccd4a2eed097f
https://doi.org/10.2139/ssrn.4424759
https://doi.org/10.2139/ssrn.4424759
Autor:
Fangda Liu, Yichun Chi
Publikováno v:
Insurance: Mathematics and Economics. 101:466-484
In this paper, we analyze a decision-making problem for an insurer with limited liability, who is subject to a solvency constraint and wants to maximize the expected value through reinsurance purchase and external financing. We impose mild conditions
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e8ecb75d7b53b1d7e3e734aa84bb5386
https://doi.org/10.1016/j.insmatheco.2021.08.010
https://doi.org/10.1016/j.insmatheco.2021.08.010
Publikováno v:
Insurance: Mathematics and Economics. 99:256-267
In this paper, we study the finite-time ruin probability in the risk model driven by a Levy subordinator, by incorporating the popular Fourier-cosine method. Our interest is to propose a general approximation for any specified precision provided that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::10c0887a89ee5de786e3e19bc5d312f0
https://doi.org/10.1016/j.insmatheco.2021.03.001
https://doi.org/10.1016/j.insmatheco.2021.03.001
Publikováno v:
Journal of Economic Behavior & Organization. 180:638-656
The literature on optimal insurance typically considers optimal risk sharing between one insurer (or reinsurer) and one insurance prospect. However, the insurance business is based on diversification benefits that arise when pooling many insurance po
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fc55be367619838efbc4f851deeeabf8
https://doi.org/10.1016/j.jebo.2020.02.012
https://doi.org/10.1016/j.jebo.2020.02.012
Publikováno v:
Economic Theory, 72(4), 1217-1255. Springer New York
We investigate competitive equilibria in a special type of incomplete markets, referred to as a comonotone market, where agents can only trade such that their risk allocation is comonotonic. The comonotone market is motivated by the no-sabotage condi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9928d01d6c6c65fe9a979b1fd8f62d59
https://doi.org/10.1007/s00199-020-01319-4
https://doi.org/10.1007/s00199-020-01319-4
Publikováno v:
Insurance: Mathematics and Economics. 90:66-79
We introduce the family of law-invariant convex risk functionals, which includes a wide majority of practically used convex risk measures and deviation measures. We obtain a unified representation theorem for this family of functionals. Two related o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2477d0084b2c295536127597ea412663
https://doi.org/10.1016/j.insmatheco.2019.10.007
https://doi.org/10.1016/j.insmatheco.2019.10.007
Autor:
Tim J. Boonen, Fangda Liu
Publikováno v:
SSRN Electronic Journal.
This paper studies an optimal insurance problem with finitely many potential policyholders. A monopolistic, risk-neutral insurer applies linear pricing, and cannot discriminate in the insurance premium rate. The individuals are endowed with exponenti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3e1748ff4030cdb98391b9e8c4c5f3f9
https://doi.org/10.2139/ssrn.3677285
https://doi.org/10.2139/ssrn.3677285