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Li-Hsien Sun    Associate Professor
Office:
Tel : (03)422-7151#65454
Fax: (03)425-8602
E-mail: lihsiensun@ncu.edu.tw
web: https://tinyurl.com/tpsun0701

Education
  Ph.D. in Statistics and Applied Probability, University of California, Santa Barbara, 2014
M.S. in Statistics, National Central University, 2005
B.S. in Mathematics, National Central University, 2003
 

Research Interests
  1. Financial engineering
2. Financial mathematics
3. Applied probability
4. Statistical inference
 

Publications
  Preprints

Estimation under Copula-Based Markov Mixture Normal Models for Serially Correlated Data (with W.-C. Lin and T. Emura). to appear in Communications in Statistics - Simulation and Computation 2019.

Expected Exponential Utility Maximization of Insurers with A General Diffusion Factor Model: The Complete Market Case (with H. Hata and S.-J. Sheu). arXiv:1903.08957, 2019.

Portfolio Optimization with Delay Factor Models (with S.-J. Sheu and Z. Zhang). arXiv:1805.01118, 2018.

A Bayesian Inference for Time Series via Copula-Based Markov Chain Models (with C.-S. Lee and T. Emura). to appear in Communications in Statistics - Simulation and Computation, 2018.

Publications

Modeling Financial Interval Time Series (with L.-C. Lin). Plos One, 14(2), 2019.

Fitting Competing Risks Data to Bivariate Pareto Models (with W. Lee, J.-H. Shih, and T. Emura). Communications in Statistics– Theory and Methods, 48(5), 1193--1220, 2019.

Systemic Risk and Interbank Lending. Journal of Optimization Theory and Applications, 179(2), 400--424, 2018.

Systemic Risk and Stochastic Games with Delay (with R. Carmona, J.-P. Fouque, and S. M. Mousavi). Journal of Optimization Theory and Applications, 179(2), 366--399, 2018.

Systemic Risk and Stochastic Game with A Central Bank. Journal of the Chinese Statistical Association 55, 1--19, 2017.

R Routines for Performing Estimation and Statistical Process Control under Copula-Based Time Series Models (with T. Emura and T.-H. Long). Communications in Statistics - Simulation and Computation, 46(4), 3067--3087, 2016.

Mean Field Games and Systemic Risk (with R. Carmona and J.-P. Fouque). Communications in Mathematical Sciences, 13(4), 911--933, 2015.

Systemic Risk Illustrated (with J.-P. Fouque). Hanbook of Systemic Risk, Eds J.-P. Fouque and J. Langsam. Cambridge University Press, 2013.
 


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