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Inf-convolution and optimal allocations for mixed-VaRs

Xia, Zichao; Zou, Zhenfeng; Hu, Taizhong - In: Insurance / Mathematics & economics 108 (2023), pp. 156-164

Persistent link: https://www.econbiz.de/10013534516

Adjusted higher-order expected shortfall

Zou, Zhenfeng; Hu, Taizhong - In: Insurance : mathematics and economics 115 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015066721

Adjusted Rényi entropic value-at-risk

Zou, Zhenfeng; Wu, Qinyu; Xia, Zichao; Hu, Taizhong - In: European journal of operational research : EJOR 306 (2023) 1, pp. 255-268

Persistent link: https://www.econbiz.de/10014276754

Statistical inference for tail-based cumulative residual entropy

Sun, Hongfang; Chen, Yu; Hu, Taizhong - In: Insurance / Mathematics & economics 103 (2022), pp. 66-95

Persistent link: https://www.econbiz.de/10013198327

Capital allocation and pricing decisions under trade credit with time-sensitive stochastic demand

Yang, Yang; Liu, Jie; Hu, Taizhong - In: Transportation research / E : an international journal 173 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014302098

Diversification for infinite-mean Pareto models without risk aversion

Chen, Yuyu; Hu, Taizhong; Wang, Ruodu; Zou, Zhenfeng - In: European journal of operational research : EJOR 323 (2025) 1, pp. 341-350

Persistent link: https://www.econbiz.de/10015415630

Preservation of the location independent risk order under convolution

Hu, Taizhong; Chen, Jing; Yao, Junchao - In: Insurance: Mathematics and Economics 38 (2006) 2, pp. 406-412

Persistent link: https://www.econbiz.de/10005374588

On dependence of risks and stop-loss premiums

Hu, Taizhong; Wu, Zhiqiang - In: Insurance: Mathematics and Economics 24 (1999) 3, pp. 323-332

Persistent link: https://www.econbiz.de/10005374861

Preservation of multivariate dependence under multivariate claim models

Hu, Taizhong; Pan, Xiaoming - In: Insurance: Mathematics and Economics 25 (1999) 2, pp. 171-179

Persistent link: https://www.econbiz.de/10005375028

Asset proportions in optimal portfolios with dependent default risks

Chen, Zijin; Hu, Taizhong - In: Insurance: Mathematics and Economics 43 (2008) 2, pp. 223-226

In this note, we consider the dependent default risk model of factor type. The dependence between the returns of assets is driven by default indicators. Sufficient conditions on the dependence structure of default indicators and on the utility function are investigated which enable one to order...

Persistent link: https://www.econbiz.de/10005375206