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Joint insolvency analysis of a shared MAP risk process : a capital allocation application
Cai, Jun; Landriault, David; Shi, Tianxiang; Wei, Wei - In: North American actuarial journal 21 (2017) 2, pp. 178-192
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011858008
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Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Bi, Junna; Cai, Jun - In: Insurance / Mathematics & economics 85 (2019), pp. 1-14
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011990589
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Asymptotic equivalence of risk measures under dependence uncertainty
Cai, Jun; Liu, Haiyan; Wang, Ruodu - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 29-49
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011969153
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Optimal reinsurance from the perspectives of both an insurer and a reinsurer
Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Astin bulletin : the journal of the International … 46 (2016) 3, pp. 815-849
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011670010
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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://ebvufind01.dmz1.zbw.eu/10011740761
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Pareto-optimal reinsurance arrangements under general model settings
Cai, Jun; Liu, Haiyan; Wang, Ruodu - In: Insurance / Mathematics & economics 77 (2017), pp. 24-37
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011783878
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Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
Cai, Jun; Wang, Ying - In: Insurance / Mathematics & economics 100 (2021), pp. 329-349
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012622397
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Reinsurance premium principles based on weighted loss functions
Cai, Jun; Wang, Ying - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 903-923
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012195013
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Convex risk functionals : representation and applications
Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu - In: Insurance / Mathematics & economics 90 (2020), pp. 66-79
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012169500
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Risk measures based on behavioural economics theory
Mao, Tiantian; Cai, Jun - In: Finance and stochastics 22 (2018) 2, pp. 367-393
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011945793