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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
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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
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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
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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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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
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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
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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
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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
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L p-metric under the location-independent risk ordering of random variables
Yang, Jianping; Zhuang, Weiwei; Hu, Taizhong - In: Insurance / Mathematics & economics 59 (2014), pp. 321-324
Persistent link: https://www.econbiz.de/10010469973
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On a family of coherent measures of variability
Hu, Taizhong; Chen, Ouxiang - In: Insurance / Mathematics & economics 95 (2020), pp. 173-182
Persistent link: https://www.econbiz.de/10012420133