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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

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

Asymptotic Equivalence of Risk Measures Under Dependence Uncertainty

Cai, Jun - 2016

In this paper we study the aggregate risk of inhomogeneous risks with dependence uncertainty, evaluated by a generic risk measure. We say that a pair of risk measures are asymptotically equivalent if the ratio of the worst-case values of the two risk measures is almost one for the sum of a large...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013002972

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

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://ebvufind01.dmz1.zbw.eu/10012307399

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://ebvufind01.dmz1.zbw.eu/10013370495

Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance

Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015047732

Comparing the riskiness of dependent portfolios via nested L-statistics

Samanthi, Ranadeera G.M.; Wei, Wei; Brazauskas, Vytaras - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 213-236

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011820567

Optimal Reinsurance in a Market of Multiple Reinsurers Under Law-Invariant Convex Risk Measures

Cai, Jun - 2017

It is natural to connect reinsurance problems with risk measures since a reinsurance contract is an efficient risk management tool for an insurer and the reinsurance premium can also be viewed as a measure of a reinsurer's risk. In this paper, we assume that the insurer uses a law-invariant...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012944480

Matching Kollo measures

Alexander, Carol; Wei, Wei; Chen, Xi - In: Journal of the Operational Research Society 75 (2024) 7, pp. 1279-1293

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014555909