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~person:"Liu, Haiyan"
~subject:"Statistical distribution"
~subject:"Theory"
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Search: subject:"Value at Risk"
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Statistical distribution
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13
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12
Risk measure
12
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11
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11
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8
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8
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5
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Liu, Haiyan
Wang, Ruodu
41
Härdle, Wolfgang
32
Stoja, Evarist
25
Daníelsson, Jón
23
Rosazza Gianin, Emanuela
23
Vanduffel, Steven
23
Huschens, Stefan
21
Rüschendorf, Ludger
21
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19
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19
Vries, Casper G. de
19
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18
Dhaene, Jan
17
Brandtner, Mario
16
Dowd, Kevin
16
Paolella, Marc S.
16
Righi, Marcelo Brutti
16
Stoyanov, Stoyan V.
15
Bernard, Carole
14
Boonen, Tim J.
14
Caporin, Massimiliano
14
Mao, Tiantian
14
Račev, Svetlozar T.
14
Cai, Jun
13
Cheung, Ka Chun
13
Furman, Edward
13
Gerlach, Richard
13
Kürsten, Wolfgang
13
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13
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13
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13
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12
Mittnik, Stefan
12
Tsanakas, Andreas
12
Yoshiba, Toshinao
12
Dijk, Herman K. van
11
Farkas, Walter
11
Liu, Fangda
11
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Insurance / Mathematics & economics
3
Research paper series / Swiss Finance Institute
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Astin bulletin : the journal of the International Actuarial Association
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
13
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1
Distributionally Robust Reinsurance with
Value-at-Risk
and Conditional
Value-at-Risk
Liu, Haiyan
;
Mao, Tiantian
-
2022
study a distributionally robust reinsurance problem by minimizing the maximum
Value-at-Risk
(or the worst-case VaR) of the … show that the worst-case Conditional
Value-at-Risk
of the total retained loss of the insurer is equal to the worst-case VaR …
Persistent link: https://www.econbiz.de/10013300584
Saved in:
2
Distributionally Robust Reinsurance With
Value-at-Risk
and Conditional
Value-at-Risk
Liu, Haiyan
;
Mao, Tiantian
-
2021
study a distributionally robust reinsurance problem by minimizing the maximum
Value-at-Risk
(or the worst-case VaR) of the … show that the worst-case Conditional
Value-at-Risk
of the total retained loss of the insurer is equal to the worst-case VaR …
Persistent link: https://www.econbiz.de/10013226881
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
Weighted comonotonic risk sharing under heterogeneous beliefs
Liu, Haiyan
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
2
,
pp. 647-673
Persistent link: https://www.econbiz.de/10012243394
Saved in:
5
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
-
2017
-
This version: October 24, 2017
-called Range-
Value-at-Risk
(RVaR), as their preferences. The family of RVaR includes the
Value-at-Risk
(VaR) and the Expected …
Persistent link: https://www.econbiz.de/10011874813
Saved in:
6
Quantile-Based Risk Sharing
Embrechts, Paul
-
2017
-called Range-
Value-at-Risk
(RVaR), as their preferences. The family of RVaR includes the
Value-at-Risk
(VaR) and the Expected …
Persistent link: https://www.econbiz.de/10012969842
Saved in:
7
Quantile-based risk sharing with heterogeneous beliefs
Embrechts, Paul
;
Liu, Haiyan
;
Mao, Tiantian
;
Wang, Ruodu
-
2017
equivalent to equilibrium allocations, and the equilibrium price is unique. For
Value-at-Risk
(VaR) agents or mixed VaR and ES …
Persistent link: https://www.econbiz.de/10011875652
Saved in:
8
Asymptotic Equivalence of Risk Measures Under Dependence Uncertainty
Cai, Jun
-
2016
In this paper we study the aggregate risk of inhomogeneous risks with dependence uncertainty, evaluated by a generic risk measure. We say that a pair of risk measures are asymptotically equivalent if the ratio of the worst-case values of the two risk measures is almost one for the sum of a large...
Persistent link: https://www.econbiz.de/10013002972
Saved in:
9
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
10
Collective risk models with dependence uncertainty
Liu, Haiyan
;
Wang, Ruodu
- In:
Astin bulletin : the journal of the International …
47
(
2017
)
2
,
pp. 361-389
Persistent link: https://www.econbiz.de/10011729564
Saved in:
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