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~person:"Mao, Tiantian"
~subject:"Portfolio selection"
~subject:"Schätztheorie"
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Search: subject:"Expected Shortfall"
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Mao, Tiantian
McAleer, Michael
36
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24
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22
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20
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19
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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
The average risk sharing problem under risk measure and expected utility theory
Mao, Tiantian
;
Hu, Jiuyun
;
Liu, Haiyan
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 170-179
Persistent link: https://www.econbiz.de/10011944126
Saved in:
7
Risk measures based on behavioural economics theory
Mao, Tiantian
;
Cai, Jun
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 367-393
Persistent link: https://www.econbiz.de/10011945793
Saved in:
8
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:
9
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:
10
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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