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孫立憲 副教授   Li-Hsien Sun
辦  公  室: M509室
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電子郵件: lihsiensun@ncu.edu.tw
個人網站: https://sites.google.com/view/lhsun

學經歷
  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
 

研究領域
  1. Financial engineering
2. Financial mathematics
3. Applied probability
4. Statistical inference
 

論文著作
  Publications

Change Point Estimation under A Copula-based Markov Chain Model for Binomial Time Series (with C.-C. Lai and T. Emura). to appear in Econometrics and Statistics.

Optimal Investment and Reinsurance of Insurers with Lognormal Stochastic Factor Model (with H. Hata). to appear in Mathematical Control and Related Fields.

Mean Field Social Optimization: Feedback Person-by-Person Optimality and The Master Equation (with M. Huang and S.-J. Sheu). Proceedings of the 2020 59th IEEE Conference on Decision and Control (CDC), 4921--4926, 2020.

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.

A Bayesian Inference for Time Series via Copula-Based Markov Chain Mod- els (with C.-S. Lee and T. Emura). Communications in Statistics - Simulation and Computation 49(11), 2897--2913, 2020.

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.

Books

Copula-Based Markov Models for Time Series Parametric Inference and Process Control (with X.-W. Huang, M. S. Alqawba, J.-M. Kim, and T. Emura). Springer Singapore, 2020.

Preprints

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.
 

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