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.