3 citations · 3 across the 2 of their papers we have counts for
2 papers
q-fin.RM2021★ 3 cited
Cash-subadditive risk measures without quasi-convexity
Xia Han, Qiuqi Wang, Ruodu Wang +1
In the literature on risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable…
math.OC2020
Optimal per-loss reinsurance and investment to minimize the probability of drawdown
Xia Han, Zhibin Liang
In this paper, we study an optimal reinsurance-investment problem in a risk model with two dependent classes of insurance business, where the two claim number processes are correla…