5 papers
Stochastic Dominance Constrained Optimization with S-shaped Utilities: Poor-Performance-Region Algorithm and Neural Network
Zeyun Hu, Yang Liu
We investigate the static portfolio selection problem of S-shaped and non-concave utility maximization under first-order and second-order stochastic dominance (SD) constraints. In…
Second-order Asymptotic Analysis of Tail Probabilities of Bidimensional Randomly Weighted Sums
Bingzhen Geng, Yang Liu, Shijie Wang
Motivated by a bidimensional discrete-time risk model in insurance, we study second-order asymptotics for two kinds of tail probabilities of the stochastic discounted value of aggr…
Asymptotics of Systemic Risk in a Renewal Model with Multiple Business Lines and Heterogeneous Claims
Bingzhen Geng, Yang Liu, Hongfu Wan
Systemic risk is receiving increasing attention in the insurance industry. In this paper, we propose a multi-dimensional Lévy process-based renewal risk model with heterogeneous in…
PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets
Yang Liu, Zhenyu Shen
In hedge funds, convex compensation schemes are adopted to stimulate a high-profit performance for portfolio managers. In economics, non-monotone risk aversion is proposed to argue…
Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification
Bingzhen Geng, Yang Liu, Yimiao Zhao
Systemic risk measures play a crucial role in analyzing individual losses conditional on extreme system-wide disasters. In this paper, we provide a unified asymptotic treatment for…