Publications and Manuscripts
Manuscripts
Lauzier, J., Lin, L. and Wang, R. (2023). Negatively dependent optimal risk sharing. arXiv:22401.03328.[arXiv]
Koike, T., Lin, L. and Wang, R. (2023). Invariant correlation under marginal transforms. arXiv:2306.11188.[arXiv]
Lauzier, J., Lin, L. and Wang, R. (2023). Risk sharing, measuring variability, and distortion riskmetrics. arXiv:2302.04034.[arXiv]
Han, X., Lin, L. and Wang, R. (2023). Diversification Quotients: Quantifying Diversification via Risk Measures. arXiv: 2206.13679, SSRN: 4149069.[arXiv][SSRN] [Code]
Lin, L., Liu, F. and Liu, J. and Yu, L. (2020). The optimal reinsurance strategy with price-competition between two reinsurers. Submitted.[arXiv]
Liu, J., Yan, S. and Lin, L. (2020). Optimal asset allocation for households with habit formation. Submitted. (In Chinese).[PDF]
Publications
Koike, T., Lin, L. and Wang, R. (2023). Joint mixability and notions of negative dependence. Accepted by Mathematics of Operations Research. arXiv: 2204.11438.[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]
Lauzier, J., Lin, L. and Wang, R. (2023). Pairwise counter-monotonicity. Insurance: Mathematics and Economics, 111: 279–287. [Journal] [arXiv]
Assa, H., Lin, L. and Wang, R. (2022). Calibrating distribution models from PELVE. North American Actuarial Journal, online. [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]