18 citations · 48 across the 7 of their papers we have counts for
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q-fin.MF2019★ 6 cited
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…
q-fin.PM2019
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…