Narrow search
Showing 1 - 10 of 15
Cover Image
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Bi, Junna; Cai, Jun - In: Insurance / Mathematics & economics 85 (2019), pp. 1-14
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011990589
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
Cai, Jun; Wang, Ying - In: Insurance / Mathematics & economics 100 (2021), pp. 329-349
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012622397
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Joint stochastic orders of high degrees and their applications in portfolio selections
Wei, Wei - In: Insurance / Mathematics & economics 76 (2017), pp. 141-148
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011774798
Cover Image
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