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Some Counterexamples in Positive Dependence.

Hu, Taizhong; Müller, Alfred; Scarsini, Marco - International Centre for Economic Research (ICER) - 2002

We provide some counterexamples showing that some concepts of positive dependence are strictly stronger than others. In particular we will settle two questions posed by Pemantle (2000) and Pellerey (2002) concerning respectively association versus weak association, weak association versus...

Persistent link: https://www.econbiz.de/10005577351

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

Extreme value behavior of aggregate dependent risks

Chen, Die; Mao, Tiantian; Pan, Xiaoqing; Hu, Taizhong - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 99-108

Persistent link: https://www.econbiz.de/10009501695

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

Second-order expansions of the risk concentration based on CTE

Mao, Tiantian; Lv, Wenhua; Hu, Taizhong - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 449-456

Persistent link: https://www.econbiz.de/10009672171

A new proof of Cheung’s characterization of comonotonicity

Mao, Tiantian; Hu, Taizhong - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 214-216

Persistent link: https://www.econbiz.de/10008989348

Optimal allocation of policy limits and deductibles under distortioon risk measures

Zhuang, Weiwei; Chen, Zijin; Hu, Taizhong - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 409-414

Persistent link: https://www.econbiz.de/10009517623

Characterization of left-monotone risk aversion in the RDEU model

Mao, Tiantian; Hu, Taizhong - In: Insurance / Mathematics & economics 50 (2012) 3, pp. 413-422

Persistent link: https://www.econbiz.de/10009542257

Stochastic comparisons of capital allocations with applications

Xu, Maochao; Hu, Taizhong - In: Insurance / Mathematics & economics 50 (2012) 3, pp. 293-298

Persistent link: https://www.econbiz.de/10009544173