Publications and Manuscripts
Manuscripts
Han, X., Lin, L., Wang, H. and Wang, R. (2024). Diversification quotient based on expectiles. arXiv: 2411.14646.[arXiv]
Lauzier, J., Lin, L. and Wang, R. (2024). Optimal sharing, equilibria, and welfare without risk aversion. arXiv:22401.03328.[arXiv]
Lauzier, J., Lin, L. and Wang, R. (2024). Risk sharing, measuring variability, and distortion riskmetrics. arXiv:2302.04034.[arXiv]
Publications
Lin, L., Wang, R, Zhang, R. and Zhao, C. (2024). The checkerboard copula and dependence concepts. Accepted by SIAM Journal on Financial Mathematics. arXiv:2404.15023.[arXiv]
Han, X., Lin, L. and Wang, R. (2024). Diversification Quotients: Quantifying Diversification via Risk Measures. Management Science. [Journal][arXiv][SSRN] [Code]
Koike, T., Lin, L. and Wang, R. (2024). Invariant correlation under marginal transforms. Journal of Multivariate Analysis. 204, 105361. [Journal][arXiv]
Lin, L., Liu, F. and Liu, J. and Yu, L. (2024). The optimal reinsurance strategy with price-competition between two reinsurers. Scandinavian Actuarial Journal, 2024(8): 1-28. [Journal][arXiv]
Koike, T., Lin, L. and Wang, R. (2024). Joint mixability and notions of negative dependence. Mathematics of Operations Research. 49(4), 2786-2802.[Journal] [arXiv]
Assa, H., Lin, L. and Wang, R. (2024). Calibrating distribution models from PELVE. North American Actuarial Journal, 28(2), 373-406. [Journal][arXiv]
Lauzier, J., Lin, L. and Wang, R. (2023). Pairwise counter-monotonicity. Insurance: Mathematics and Economics, 111: 279–287. [Journal] [arXiv]
Han, X., Lin, L. and Wang, R. (2023). Diversification quotients based on VaR and ES. Insurance: Mathematics and Economics, 113: 185–197. [Journal][arXiv]
Yu, L., Lin, L., Guan, G. and Liu, J. (2023). Time-consistent lifetime portfolio selection under smooth ambiguity. Mathematical Control and Related Fields, 13(3): 967-987.[Journal]
Chen, Y., Lin, L. and Wang, R. (2021). Risk aggregation under dependence uncertainty and an order constraint. Insurance: Mathematics and Economics, 102: 169-187. [Journal][arXiv]
Liu, J., Lin, L., Yiu, K.F.C. and Wei, J. (2020). Non-exponential discounting portfolio management with habit formation. Mathematical Control and Related Fields, 10(4): 761-783.[Journal]
Liu, J., Lin, L. and Meng, H. (2020). Optimal Consumption, life insurance and investment decision with habit formation. Acta Mathematicae Applicatae Sinica (Chinese Series), 43(3): 517-534. (In Chinese).[PDF]
Liu, J. and Lin, L. (2018). Impact of weather on the pricing of flight delay insurance. Insurance Theory and Practice, 2018(11): 100-110. (In Chinese).[PDF]