3 papers
q-fin.RM2026
The conditional higher moment risk measure: second-order asymptotics with FGM contagion
Haifan Hu, Bingzhen Geng, Jiajun Liu +1
This paper investigates second-order asymptotic expansions for the conditional higher moment (CoHM) coherent risk measure under a Farlie-Gumbel-Morgenstern (FGM) dependence structu…
math.PR2025
Uniform asymptotics for a multidimensional renewal risk model with multivariate subexponential claims
Dimitrios G. Konstantinides, Jiajun Liu, Charalampos D. Passalidis
In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identicall…
stat.ME2025
Time-lagged marginal expected shortfall
Jiajun Liu, Xuannan Liu, Yuwei Zhao
Marginal expected shortfall (MES) is an important measure when assessing and quantifying the contribution of the financial institution to a systemic crisis. In this paper, we propo…