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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://www.econbiz.de/10011740761
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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://www.econbiz.de/10013370495
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Optimal capital allocation based on the Tail Mean-Variance model
Xu, Maochao; Mao, Tiantian - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 533-543
Persistent link: https://www.econbiz.de/10010227966
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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
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Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun; Mao, Tiantian; Yang, Fan - In: Scandinavian actuarial journal 2021 (2021) 7, pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
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The average risk sharing problem under risk measure and expected utility theory
Mao, Tiantian; Hu, Jiuyun; Liu, Haiyan - In: Insurance / Mathematics & economics 83 (2018), pp. 170-179
Persistent link: https://www.econbiz.de/10011944126
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Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda; Mao, Tiantian; Wang, Ruodu; Wei, Linxiao - In: Mathematics of operations research 47 (2022) 3, pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
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Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian; Stupfler, Gilles; Yang, Fan - In: Insurance / Mathematics & economics 111 (2023), pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
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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://www.econbiz.de/10011990589
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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://www.econbiz.de/10011969153