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Asymptotics for risk capital allocations based on Conditional Tail Expectation
Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; … - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 310-324
An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be...
Persistent link: https://www.econbiz.de/10010572717
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The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio; Tang, Qihe; Tong, Zhiwei - In: Journal of banking & finance 143 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
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Pricing extreme mortality risk in the wake of the COVID-19 pandemic
Li, Han; Liu, Haibo; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 108 (2023), pp. 84-106
Persistent link: https://www.econbiz.de/10013534513
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Tail risk driven by investment losses and exogenous shocks
Man, Xinyue; Tang, Qihe - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 712-737
Persistent link: https://www.econbiz.de/10015154571
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Sharp asymptotics for large portfolio losses under extreme risks
Tang, Qihe; Tang, Zhaofeng; Yang, Yang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 710-722
Persistent link: https://www.econbiz.de/10012003644
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A limit distribution of credit portfolio losses with low default probabilities
Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 156-167
Persistent link: https://www.econbiz.de/10011702063
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Risk reducers in convex order
He, Junnan; Tang, Qihe; Zhang, Huan - In: Insurance / Mathematics & economics 70 (2016), pp. 80-88
Persistent link: https://www.econbiz.de/10011597183
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Interplay of insurance and financial risks in a stochastic environment
Tang, Qihe; Yang, Yang - In: Scandinavian actuarial journal 2019 (2019) 5, pp. 432-451
Persistent link: https://www.econbiz.de/10012194959
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On additivity of tail comonotonic risks
Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung … - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 837-866
Persistent link: https://www.econbiz.de/10012195005
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Analyzing mortality bond indexes via hierarchical forecast reconciliation
Li, Han; Tang, Qihe - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 823-846
Persistent link: https://www.econbiz.de/10012125174