Projects per year
Personal profile
Research Expertise
Application probability, financial mathematics, financial engineering
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Dive into the research topics where Li-Hsien Sun is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
Projects
- 7 Finished
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Systemic Risk and Heterogeneous Group Mean Field Games with Bubble Assets(2/2)
1/08/20 → 31/07/21
Project: Research
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Systemic Risk and Heterogeneous Group Mean Field Games with Bubble Assets(1/2)
1/08/19 → 31/07/20
Project: Research
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Formulas for pricing American VIX options under the generalized mixture volatility models
Liu, H. K., Wang, Y. K., Huang, I. C. & Sun, L. H., 2023, (Accepted/In press) In: Communications in Statistics - Simulation and Computation.Research output: Contribution to journal › Article › peer-review
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Change point estimation under a copula-based Markov chain model for binomial time series
Emura, T., Lai, C. C. & Sun, L. H., 2022, (Accepted/In press) In: Econometrics and Statistics.Research output: Contribution to journal › Article › peer-review
4 Scopus citations -
Mean Field Games with Heterogeneous Groups: Application to Banking Systems
Sun, L. H., Jan 2022, In: Journal of Optimization Theory and Applications. 192, 1, p. 130-167 38 p.Research output: Contribution to journal › Article › peer-review
1 Scopus citations -
OPTIMAL INVESTMENT AND REINSURANCE OF INSURERS WITH LOGNORMAL STOCHASTIC FACTOR MODEL
Hata, H. & Sun, L. H., Jun 2022, In: Mathematical Control and Related Fields. 12, 2, p. 531-566 36 p.Research output: Contribution to journal › Article › peer-review
Open Access1 Scopus citations -
Testing unconditional and conditional independence via mutual information
Ai, C., Sun, L. H., Zhang, Z. & Zhu, L., 2022, (Accepted/In press) In: Journal of Econometrics.Research output: Contribution to journal › Article › peer-review
Datasets
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Fitting competing risks data to bivariate Pareto models
Lee, W. (Contributor), Sun, L. (Contributor), Emura, T. (Contributor) & Shih, J. (Contributor), figshare Academic Research System, 4 Mar 2019
DOI: 10.6084/m9.figshare.5895925.v1, https://doi.org/10.6084%2Fm9.figshare.5895925.v1
Dataset
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The Pareto type I joint frailty-copula model for clustered bivariate survival data
Lin, Y. (Creator), Sun, L. (Creator), Tseng, Y. (Creator) & Emura, T. (Creator), Taylor & Francis, 2022
DOI: 10.6084/m9.figshare.19692246.v1, https://tandf.figshare.com/articles/dataset/The_Pareto_type_I_joint_frailty-copula_model_for_clustered_bivariate_survival_data/19692246/1
Dataset
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The Pareto type I joint frailty-copula model for clustered bivariate survival data
Lin, Y. (Creator), Sun, L. (Creator), Tseng, Y. (Creator) & Emura, T. (Creator), Taylor & Francis, 2022
DOI: 10.6084/m9.figshare.19692246, https://tandf.figshare.com/articles/dataset/The_Pareto_type_I_joint_frailty-copula_model_for_clustered_bivariate_survival_data/19692246
Dataset