18 citations · 48 across the 7 of their papers we have counts for
8 papers
Change-point estimation for Weibull time series with copula-based Markov models
Li-Hsien Sun, Zong-Yuan Huang, Yi-Ling Huang +2
We study offline change-point estimation for time series data exhibiting nonlinear serial dependence. To address this problem, we propose a copula-based Markov chain model with Wei…
Mean field social optimization: feedback person-by-person optimality and the dynamic programming equation
Minyi Huang, Shuenn-Jyi Sheu, Li-Hsien Sun
We consider mean field social optimization in nonlinear diffusion models. By dynamic programming with a representative agent employing cooperative optimizer selection, we derive a…
Systemic Risk and Heterogeneous Mean Field Type Interbank Network
Li-Hsien Sun
We study the system of heterogeneous interbank lending and borrowing based on the relative average of log-capitalization given by the linear combination of the average within group…
Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case
Hiroaki Hata, Shuenn-Jyi Sheu, Li-Hsien Sun
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and risky assets. The mean returns and…
Portfolio Optimization with Delay Factor Models
Shuenn-Jyi Sheu, Li-Hsien Sun, Zheng Zhang
We propose an optimal portfolio problem in the incomplete market where the underlying assets depend on economic factors with delayed effects, such models can describe the short ter…
Systemic Risk and Interbank Lending
Li-Hsien Sun
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov…
Systemic Risk and Stochastic Games with Delay
Rene Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi +1
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of banks is described by coupl…
Mean Field Games and Systemic Risk
Rene Carmona, Jean-Pierre Fouque, Li-Hsien Sun
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of banks is described by a system of diffusion processes coupled…