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subject:"Portfolio-Management"
~person:"Mao, Tiantian"
~subject:"Aufsatzsammlung"
~subject:"Basel Accord"
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Portfolio-Management
Aufsatzsammlung
Basel Accord
Risikomanagement
14
Risikomaß
14
Risk management
14
Risk measure
14
Risiko
11
Risk
11
Theorie
11
Theory
11
Portfolio selection
8
Measurement
7
Messung
7
Statistical distribution
7
Statistische Verteilung
7
Ausreißer
4
Outliers
4
Reinsurance
4
Rückversicherung
4
Robust statistics
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Robustes Verfahren
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Capital income
2
Estimation theory
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Kapitaleinkommen
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Schätztheorie
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Value-at-Risk
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ARCH model
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ARCH-Modell
1
Aggregation
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Asymptotic expansions
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Bank risk
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Basler Akkord
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Belief Heterogeneity
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CVaR
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Capital allocation
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Choquet integral
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Competitive Equilibrium
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Mao, Tiantian
Fabozzi, Frank J.
34
McAleer, Michael
21
Wang, Ruodu
20
Diebold, Francis X.
17
Eller, Roland
17
Schuermann, Til
17
Hammoudeh, Shawkat
13
Satchell, Stephen
12
Bhansali, Vineer
11
Bollerslev, Tim
11
Martellini, Lionel
11
Račev, Svetlozar T.
11
Scherer, Bernd
11
Schulte-Mattler, Hermann
11
Chang, Chia-Lin
10
Kakushadze, Zura
10
Pérez Amaral, Teodosio
10
Ratnovski, Lev
10
Roncalli, Thierry
10
Rudolph, Bernd
10
Skoglund, Jimmy
10
Csóka, Péter
9
Embrechts, Paul
9
Gantenbein, Pascal
9
Härdle, Wolfgang
9
Janabi, Mazin A. M. al
9
Migueis, Marco
9
Rösch, Daniel
9
Tan, Ken Seng
9
Till, Hilary
9
Alexander, Carol
8
Alexander, Gordon J.
8
Bloss, Michael
8
Chen, Wei
8
Chorafas, Dimitris N.
8
Christoffersen, Peter F.
8
Engle, Robert F.
8
Farkas, Walter
8
Gregoriou, Greg N.
8
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Insurance / Mathematics & economics
5
Scandinavian actuarial journal
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Mathematics of operations research
1
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ECONIS (ZBW)
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1
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
2
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
3
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Saved in:
4
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
5
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
6
Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers
Cai, Jun
;
Mao, Tiantian
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1065-1092
Persistent link: https://www.econbiz.de/10012307399
Saved in:
7
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun
;
Wang, Ying
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
Saved in:
8
Risk concentration based on Expectiles for extreme risks under FGM copula
Mao, Tiantian
;
Yang, Fan
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 429-439
Persistent link: https://www.econbiz.de/10011398136
Saved in:
9
Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
Mao, Tiantian
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
51
(
2012
)
2
,
pp. 333-343
Persistent link: https://www.econbiz.de/10009669603
Saved in:
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