Fangda Liu
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View article: Elicitability and Identifiability of Tail Risk Measures
Elicitability and Identifiability of Tail Risk Measures Open
Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value‐at‐Risk, Expected Shortfall (ES) and Range Value‐at‐Risk being prime examples. They are induced by law‐ba…
View article: Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls
Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls Open
The limited stop-loss transform, along with the stop-loss and limited loss transforms – which are special or limiting cases of the limited stop-loss transform – is one of the most important transforms used in insurance, and it also appears…
View article: Worst-case reinsurance strategy with likelihood ratio uncertainty
Worst-case reinsurance strategy with likelihood ratio uncertainty Open
In this paper, we explore a non-cooperative optimal reinsurance problem incorporating likelihood ratio uncertainty, aiming to minimize the worst-case risk of the total retained loss for the insurer. We establish a general relation between …
View article: Performance-based variable premium scheme and reinsurance design
Performance-based variable premium scheme and reinsurance design Open
In the literature, insurance and reinsurance pricing is typically determined by a premium principle, characterized by a risk measure that reflects the policy seller's risk attitude. Building on the work of Meyers (1980) and Chen et al. (20…
View article: Elicitability and identifiability of tail risk measures
Elicitability and identifiability of tail risk measures Open
Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at-Risk being prime examples. They are induced by law-based r…
View article: The optimal reinsurance strategy with price-competition between two reinsurers
The optimal reinsurance strategy with price-competition between two reinsurers Open
We study optimal reinsurance in the framework of stochastic game theory, in which there is an insurer and two reinsurers. A Stackelberg model is established to analyze the non-cooperative relationship between the insurer and reinsurers, wh…
View article: Competitive equilibria in a comonotone market
Competitive equilibria in a comonotone market Open
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-sab…
View article: Analysis of a dynamic premium strategy: From theoretical and marketing perspectives
Analysis of a dynamic premium strategy: From theoretical and marketing perspectives Open
Premium rate for an insurance policy is often reviewed and updated periodically according to past claim experience in real-life. In this paper, a dynamic premium strategy that depends on the past claim experience is proposed under the disc…
View article: Risk Measures and Optimal Reinsurance
Risk Measures and Optimal Reinsurance Open
In this thesis, we study the optimal reinsurance design problem and extend the classical model in three different directions:
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\n(1) In the first framework, we add the additional assumption that the reinsurer can default on its obligatio…