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Title
Portfolio optimization under multivariate affine generalized hyperbolic distributions
Source
International Review of Economics & Finance
Date
2022
Author
Wang, Chou-Wen
;
Liu, Kai
;
Li, Bin
;
Tan, Ken Seng
Genre
Journal Article
Abstract
This paper focuses on capturing the impacts of leptokurtic phenomenon and heterogeneous preferences in higher moments on asset allocation. To...
DOI
10.1016/j.iref.2022.02.053
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Title
Real-time portfolio optimization under multivariate affine generalized hyperbolic distributions
Source
CMS Summer Meeting
Date
2021
Author
Liu, Kai
Genre
Invited Talk
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Title
Glioma segmentation of optimized 3D U-net and prediction of multi-modal survival time
Source
Neural Computing and Applications
Date
2021
Author
Liu, Qihong
;
Liu, Kai
;
Bolufé-Röhler, Antonio
;
Cai, Jing
;
He, Ling
Genre
Journal Article
Abstract
It is difficult to segment Glioma and its internal structure because the Glioma boundaries have edemas and complex internal structures. This paper...
DOI
10.1007/s00521-021-06351-6
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Title
The Asymptotic Iteration Method with applications
Date
2021
Author
Liu, Jiaying
Genre
Honours
Abstract
Asymptotic Iteration Method (AIM) is a recently developed technique for solving analytically and approximately the linear second-order differential...
Publisher
University of Prince Edward Island
Publication Status
PUBLISHED
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Title
Prescreening and treatment of aortic dissection through an analysis of infinite-dimension data
Source
BioData Mining
Date
2021
Author
Qiu, Peng
;
Li, Yixuan
;
Liu, Kai
;
Qin, Jinbao
;
Ye, Kaichuang
;
Chen, Tao
;
Lu, Xinwu
Genre
Journal Article
Abstract
Background Aortic dissection (AD) is one of the most catastrophic aortic diseases associated with a high mortality rate. In contrast to the...
Volume
14
Issue
1
DOI
10.1186/s13040-021-00249-8
Publication Status
PUBLISHED
Full Text
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Title
Home bias and corporate environmental social responsibility
Source
Sustainability
Date
2021
Author
Rong, Xing
;
Song, Bingjie
;
Zhang, Tingting
;
Liu, Kai
Genre
Journal Article
Abstract
This paper analyzes the impact of executives’ hometown identification on corporate environmental social responsibility (CESR) using a sample of...
Volume
13
Issue
11
Start Page
5860
DOI
10.3390/su13115860
Publication Status
PUBLISHED
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Title
Closed‐form approximated pricing of multivariate derivatives under switching regime models
Source
Applied Stochastic Models in Business and Industry
Date
2021
Author
Alvarez, Alexander
;
Assadi, Atousa
;
Liu, Kai
Genre
Journal Article
Abstract
Markov switching regime models have played an increasingly important role in finance and economics, especially for business cycles and long swings...
DOI
10.1002/asmb.2635
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Title
Remote sensing applications for insurance
Subtitle
A predictive model for pasture yield in the presence of systemic weather
Source
North American Actuarial Journal
Date
2020
Author
Brock Porth, C.
;
Porth, Lysa
;
Zhu, Wenjun
;
Boyd, Milton
;
Tan, Ken Seng
;
Liu, Kai
Genre
Journal Article
Abstract
A robust predictive model for crop yield is essential for designing a commercially viable index-based insurance policy. Index-based insurance for...
Volume
24
Issue
2
Start Page
333
DOI
10.1080/10920277.2020.1717345
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Title
Real-time valuation of large variable annuity portfolios
Subtitle
A geen mesh approach
Source
North American Actuarial Journal
Date
2020
Author
Liu, Kai
;
Tan, Ken Seng
Genre
Journal Article
Abstract
The valuation of large variable annuity (VA) portfolios is an important problem of interest, not only because of its practical relevance but also...
Start Page
1
DOI
10.1080/10920277.2019.1697707
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Title
Path generation methods on valuation of large variable annuities portfolio
Source
Proceedings of the 2020 Winter Simulation Conference
Date
2020
Author
Feng, M.
;
Liu, K.
Genre
Conference Proceedings
Start Page
481
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Title
Fund managers’ association networks, information sharing and fund performance
Source
Applied Economics Letters
Date
2020
Author
Liu, Haifei
;
Liu, Kai
;
Li, Dongxin
;
Li, Yixuan
Genre
Journal Article
Abstract
This article studied the social network of fund managers based on their historical working relationships, and investigated how these relations...
Volume
27
Issue
10
Start Page
841
DOI
10.1080/13504851.2019.1646400
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Title
Psudo Market Frontier
Source
Informs Annual Meeting
Date
2020
Author
Liu, Kai
Genre
Invited Talk
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Title
Real-time valuation of large variable annuity portfolios
Subtitle
A green mesh
Source
AARMS CRG Conference
Date
2020
Author
Liu, Kai
Genre
Conference Presentation
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Title
Identifying key factors in momentum in basketball games
Source
Journal of Applied Statistics
Date
2020
Author
Chen, Tao
;
Fan, Qingliang
;
Liu, Kai
;
Le, Lingshan
Genre
Journal Article
Abstract
Momentum as elaborated under a recent novel definition has been shown quantitatively to have a significant impact on basketball game outcomes. This...
Start Page
1
DOI
10.1080/02664763.2020.1795819
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Title
Predicting crop loss using remote sensing data
Source
The UPEI Artificial Intelligence/Machine Learning Presentation Series
Date
2018
Author
Liu, Kai
Genre
Conference Presentation
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Title
Empirical analysis of index tracking with efficient portfolio dimension reduction and smart beta score
Source
22nd International Congress on Insurance: Mathematics and Economics, Sydney, Australia
Date
2018
Author
Liu, Kai
Genre
Conference Presentation
Abstract
Using the efficient portfolio dimension reduction method proposed by Liu, Wang, and Tan[1],this paper combines the efficient portfolio dimension...
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Title
Big data in actuarial science
Source
Computer Science Seminar, Chengdu Technological University
Date
2018
Author
Liu, Kai
Genre
Conference Presentation
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Title
Dimension reduction in quantitative finance
Source
Actuarial Science Seminar
Date
2018
Author
Liu, Kai
Genre
Conference Presentation
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Title
Effective dimensionality control in quantitative finance and insurance
Date
2017
Author
Liu, Kai
Genre
Dissertation/Thesis
Abstract
It is well-known that dimension reduction techniques such as the Brownian bridge, principal component analysis, linear transformation could...
Publisher
University of Waterloo
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Title
Predicting forage crop loss in the presence of systemic weather risk using remote sensing data
Subtitle
An insurance application
Source
Advances in Predictive Analytics Conference
Date
2017
Author
Liu, Kai
Genre
Conference Proceedings
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