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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

On the Haezendonck-Goovaerts risk measure for extreme risks

Tang, Qihe; Fan, Yang - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 217-227

Persistent link: https://www.econbiz.de/10009501684

Asymptotics for risk capital allocations based on conditional tail expectation

Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 310-324

Persistent link: https://www.econbiz.de/10009404721

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

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

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

Large portfolio losses in a turbulent market

Tang, Qihe; Tong, Zhiwei; Yang, Yang - In: European journal of operational research : EJOR 292 (2021) 2, pp. 755-769

Persistent link: https://www.econbiz.de/10012502397

Portfolio risk analysis of excess of loss reinsurance

Tang, Qihe; Tong, Zhiwei; Xun, Li - In: Insurance / Mathematics & economics 102 (2022), pp. 91-110

Persistent link: https://www.econbiz.de/10013271962

Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation

Asimit, Alexandru Vali; Furman, Edward; Tang, Qihe; … - 2013

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/10014153815