LI Jingyuan, Prof.

  • 8 Castle Peak Road, Tuen Mun

    Hong Kong

  • 143 Scopus Citations
  • 7 Scopus h-Index
20042021
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Research Output 2004 2018

2018

Capacity Aversion

LI, J., WANG, J. & YICK, H. Y. M., 17 Sep 2018.

Research output: Other Conference ContributionsConference Paper (other)

Uncertainty aversion
Jensen's inequality
Approximation
Public investment
Choquet expected utility

Comparative Ambiguity Aversion in Intertemporal Decisions

WANG, J. & LI, J., 3 Jul 2018, In : Journal of Risk and Insurance. 18 p.

Research output: Journal PublicationsJournal Article (refereed)

Ambiguity aversion
Intertemporal substitution
Time preference
Willingness-to-pay
Self-insurance
2016
2 Citations (Scopus)

Confidence band for expectation dependence with applications

GUO, X. & LI, J., May 2016, In : Insurance : Mathematics and Economics. 68, p. 141-149 9 p.

Research output: Journal PublicationsJournal Article (refereed)

Confidence Bands
Hoeffding's Inequality
Risk Aversion
Coverage Probability
Finance
3 Citations (Scopus)

Lattice-based monotone comparative statics on saving with Selden/Kreps–Porteus preferences

WANG, J. & LI, J., Aug 2016, In : Journal of Mathematical Economics. 65, p. 132-138 7 p.

Research output: Journal PublicationsJournal Article (refereed)

Comparative Statics
Risk Aversion
Monotone
Sufficient Conditions
Model
3 Citations (Scopus)

Preserving the Rothschild–Stiglitz type of increasing risk with background risk

GUO, X., LI, J., LIU, D. & WANG, J. L., Sep 2016, In : Insurance: Mathematics and Economics. 70, p. 144-149 6 p.

Research output: Journal PublicationsJournal Article (refereed)

Increasing risk
Background risk
Background
Decision maker
Increase in risk
2 Citations (Scopus)

Risk aversion with two risks : a theoretical extension

LI, J., LIU, D. & WANG, J., Mar 2016, In : Journal of Mathematical Economics. 63, p. 100-105 6 p.

Research output: Journal PublicationsJournal Article (refereed)

Risk Aversion
Financial Risk
Generalise
Risk aversion
Financial risk
2015
15 Citations (Scopus)

Precautionary effort : another trait for prudence

WANG, J. & LI, J., Dec 2015, In : Journal of Risk and Insurance. 82, 4, p. 977-983 7 p.

Research output: Journal PublicationsJournal Article (refereed)

Convexity
Background risk
Prudence
Deterioration
7 Citations (Scopus)

Precautionary paying for stochastic improvements under background risks

WANG, H., WANG, J., LI, J. & XIA, X., Sep 2015, In : Insurance : Mathematics and Economics. 64, p. 180-185 6 p.

Research output: Journal PublicationsJournal Article (refereed)

Background risk
Precautionary saving
Derivatives
Decision model
Utility function

Risk Aversion and Risk Premiums with Dependent Risks

LI, J., SCHLESINGER, H. & YANG, Z., 5 Aug 2015.

Research output: Other Conference ContributionsConference Paper (other)

Dependent risks
Risk aversion
Risk premium
Utility function
Total risk

When can harms disaggregation imply precautionary effort?

WANG, J. & LI, J., 1 Jan 2015, Proceedings of 2014 China International Conference On Insurance And Risk Management. Tsinghua University Press, p. 596-600 5 p.

Research output: Book Chapters | Papers in Conference ProceedingsConference paper (refereed)

Expected utility
Comparative static analysis
Prudence
Disaggregation
2014
1 Scopus Citations

Comparative Ross risk aversion in the presence of mean dependent risks

DIONNE, G. & LI, J., Mar 2014, In : Journal of Mathematical Economics. 51, p. 128-135 8 p.

Research output: Journal PublicationsJournal Article (refereed)

Risk Aversion
Dependent
Risk Premium
Partial
Conditional Expectation

Decreasing Ross risk aversion : higher-order generalizations and implications

WANG, J. & LI, J., Dec 2014, In : Journal of Mathematical Economics. 55, p. 136-142 7 p.

Research output: Journal PublicationsJournal Article (refereed)

Risk Aversion
Higher Order
Deterioration
Vulnerability
Generalization

On the strictly decreasing utility (value) premium of Friedman-Savage

LI, J. & WANG, J., 6 Jun 2014

Research output: Other contributionOther outputs

Open Access
Precautionary saving
Premium
Value premium
Non-expected utility
Prediction

Precautionary saving with Selden/Kreps-Porteus preferences revisited

LI, J. & WANG, J., 17 Sep 2014

Research output: Other contributionOther outputs

Open Access
Precautionary saving
Expected utility
Time preference
Risk preferences

The effect of time and ambiguity preferences on saving and insurance

LI, J. & WANG, J., 14 Aug 2014

Research output: Other contributionOther outputs

Open Access
Insurance
Time preference
Self-insurance
6 Citations (Scopus)

The monetary utility premium and interpersonal comparisons

LI, J. & LIU, L., Nov 2014, In : Economics Letters. 125, 2, p. 257-260 4 p.

Research output: Journal PublicationsJournal Article (refereed)

Premium
Decision maker
Expected utility
Marginal utility
Pain
4 Citations (Scopus)

When can expected utility handle first-order risk aversion?

DIONNE, G. & LI, J., Nov 2014, In : Journal of Economic Theory. 154, p. 403-422 20 p.

Research output: Journal PublicationsJournal Article (refereed)

Expected utility
Risk aversion
Utility function
Dependent risks
Economics
2013

An Extension of the Consumption-based CAPM Model

DIONNE, G., LI, J. & OKOU, C., 17 Sep 2013.

Research output: Other Conference ContributionsPresentation

An Extension of the Consumption-Based CAPM Model

DIONNE, G., LI, J. & OKOU, C., 18 Oct 2013.

Research output: Other Conference ContributionsPresentation

An Extension of the Consumption-Based CAPM Model

DIONNE, G., LI, J. & OKOU, C., 7 Aug 2013.

Research output: Other Conference ContributionsPresentation

An Extension of the Consumption-Based CAPM Model

LI, J., 2 Nov 2013.

Research output: Other Conference ContributionsPresentation

Higher-order risk attitudes toward correlation

LI, J., 6 Aug 2013.

Research output: Other Conference ContributionsConference Paper (other)

Risk attitude
Risk aversion
Economics
Temperance
Moral hazard

Higher-order risk attitudes toward correlation

LI, J., 28 May 2013

Research output: Other contributionOther outputs

Open Access
Risk attitude
Risk aversion
Economics
Temperance
Moral hazard
2012

An extension of the consumption-based CAPM model

DIONNE, G., LI, J. & OKOU, C., 29 Sep 2012.

Research output: Other Conference ContributionsConference Paper (other)

Representative agent
Risk-averse
Price premium
Asset prices
Riskiness

An extension of the consumption-based CAPM model

DIONNE, G., LI, J. & OKOU, C., Mar 2012, CIRRELT, 40 p. (CIRRELT; no. CIRRELT-2012-11).

Research output: Working paperWorking paper series

Open Access
Capital asset pricing model
Representative agent
Risk-averse
Price premium
Asset prices
12 Citations (Scopus)

Precautionary saving in the presence of labor income and interest rate risks

LI, J., 1 Jul 2012, In : Journal of Economics. 106, 3, p. 251-266 16 p.

Research output: Journal PublicationsJournal Article (refereed)

Interest rate risk
Precautionary saving
Labor income
Uncertainty
Prudence
2011

First-order (conditional) risk aversion, background risk and risk diversification

DIONNE, G. & LI, J., Apr 2011, CIRRELT, 18 p. (CIRRELT; no. CIRRELT-2011-24).

Research output: Working paperWorking paper series

Open Access
Background risk
Risk diversification
Risk aversion
Expected utility
Utility function
29 Citations (Scopus)

The demand for a risky asset in the presence of a background risk

LI, J., 1 Jan 2011, In : Journal of Economic Theory. 146, 1, p. 372-391 20 p.

Research output: Journal PublicationsJournal Article (refereed)

Background risk
Assets
Financial risk
Direct effect
Derivatives
20 Citations (Scopus)

The impact of prudence on optimal prevention revisited

DIONNE, G. & LI, J., 1 Nov 2011, In : Economics Letters. 113, 2, p. 147-149 3 p.

Research output: Journal PublicationsJournal Article (refereed)

Prudence
Self-protection
2010

A theoretical extension of the consumption-based CAPM model

LI, J. & DIONNE, G., Dec 2010, CIRRELT, 25 p. (CIRRELT; no. CIRRELT-2010-60).

Research output: Working paperWorking paper series

Open Access
Capital asset pricing model
Representative agent
Risk-averse
Price premium
Asset prices
2 Citations (Scopus)

Fear of loss and happiness of win : properties and applications

LI, J., 1 Dec 2010, In : Journal of Risk and Insurance. 77, 4, p. 749-766 18 p.

Research output: Journal PublicationsJournal Article (refereed)

Happiness
Coefficients
Wealth
Insurer
Default risk
12 Citations (Scopus)

Multiplicative risk apportionment

WANG, J. & LI, J., 1 Jul 2010, In : Mathematical Social Sciences. 60, 1, p. 79-81 3 p.

Research output: Journal PublicationsJournal Article (refereed)

Multiplicative
Higher Order
Lottery
Risk Aversion
Relative Risk
2009
2 Citations (Scopus)

A reputation strategic model of monetary policy in continuous-time

LI, J., LIU, Y. & TIAN, G., 1 Dec 2009, In : Journal of Macroeconomics. 31, 4, p. 523-533 11 p.

Research output: Journal PublicationsJournal Article (refereed)

Continuous time
Monetary policy
Rational expectations equilibrium
Time horizon
Finite horizon
22 Citations (Scopus)

Comparative higher-degree Ross risk aversion

LI, J., 1 Dec 2009, In : Insurance : Mathematics and Economics. 45, 3, p. 333-336 4 p.

Research output: Journal PublicationsJournal Article (refereed)

Risk aversion
Downside risk aversion
2008
1 Scopus Citations

A remark on "A shortcut way of pricing default risk through zero-utility principle"

LI, J., 1 Jun 2008, In : Journal of Risk and Insurance. 75, 2, p. 517-519 3 p.

Research output: Journal PublicationsJournal Article (refereed)

Default risk
Buyers
Pricing

Time inconsistency and reputation in monetary policy : a strategic modelling in continuous time

LI, J. & TIAN, G., 1 Jul 2008, In : Acta Mathematica Scientia. 28B, 3, p. 697-710 14 p.

Research output: Journal PublicationsJournal Article (refereed)

Monetary Policy
Inconsistency
Continuous Time
Modeling
horizon
2004

Essays on monetary policy and banking regulation

LI, J., Aug 2004, Texas, United States : Texas A & M University.

Research output: Other contributionThesis/Dissertation

Open Access
Monetary policy
Banking regulation
Central bank
Inflation
Control theory