Publications
Refereed Publications
Tim J. Boonen and Fangda Liu. (2022) Insurance With Heterogeneous Preferences. Journal of Mathematical Economics, forthcoming. SSRN
Linxiao Wei, Fangda Liu, Tiantian Mao and Ruodu Wang. (2022) Inf-convolution and Optimal Allocations for Tail Risk Measures. Mathematics of Operations Research, forthcoming. SSRN, Journal
Yichun Chi, and Fangda Liu. (2021) Enhancing the insurer's expected value by reinsurance and external financing. Insurance: Mathematics & Economics, 101(Part B, November 2021): 466-484. Journal
Wing Yan Lee, Xiaolong Li, Fangda Liu, Yifan Shi and Sheung Chi Phillip Yam. (2021) Fourier-cosine Method for Finite-time Ruin Probabilities. Insurance: Mathematics & Economics, 99: 256-267. SSRN, Journal
Fangda Liu and Ruodu Wang. (2021) A theory for measures of tail risk. Mathematics of Operations Research, 46(3): 1109-1128. SSRN, Journal
Tim J. Boonen, Fangda Liu, and Ruodu Wang. (2021) Competitive equilibria in a comonotone market. Economic Theory, 72: 1217–1255. SSRN, Journal
Bernard, C., Liu, F. and Vanduffel, S. (2020) Optimal insurance in the presence of multiple policyholders. Journal of Economic Behavior & Organization, 18: 638-656. SSRN, Journal
Fangda Liu, Jun Cai, Christiane Lemieux and Ruodu Wang (2019) Convex risk functionals: representation and applications. Insurance: Mathematics & Economics, 90:66-79. SSRN, Journal
Yichun Chi and Fangda Liu (2017) Optimal insurance design in the presence of exclusion clauses. Insurance: Mathematics & Economics 76:185-195. Journal
Wing Yan Lee and Fangda Liu (2017) Analysis of a dynamic premium strategy: from theoretical and marketing perspective. Journal of Industrial and Management Optimization, 14(4):1545-1577. Journal
Jun Cai, Christiane Lemieux and Fangda Liu (2016) Optimal reinsurance from the perspective of both an insurer and a reinsurer. ASTIN Bulletin, 46(2):815-849. Journal
Jun Cai, Christiane Lemieux and Fangda Liu (2014) Optimal reinsurance with regulatory initial capital and default risk. Insurance: Mathematics & Economics, 57:13-24. Journal
K.C. Cheung, Fangda Liu and S.C.P. Yam (2012) Average Value-at-Risk minimizing reinsurance under Wang's premium principle with constraints. ASTIN Bulletin, 42(2):575-600. Journal
Preprints
Liyuan Lin, Fangda Liu, Jingzheng Liu and Luyang Yu (2022) Mean-variance Stackelberg-Nash games between one insurer and two reinsurers.