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~person:"Mao, Tiantian"
~subject:"Statistical distribution"
~subject:"Theory"
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Search: subject:"Value at Risk"
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10
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Mao, Tiantian
Wang, Ruodu
40
Härdle, Wolfgang
31
Stoja, Evarist
25
Daníelsson, Jón
23
Rosazza Gianin, Emanuela
23
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22
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21
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21
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19
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19
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19
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18
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17
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16
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16
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16
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16
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15
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14
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14
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13
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13
Cheung, Ka Chun
13
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13
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13
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13
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13
Liu, Haiyan
13
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13
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12
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12
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12
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12
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12
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11
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11
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11
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1
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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