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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
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Tail risk driven by investment losses and exogenous shocks
Man, Xinyue; Tang, Qihe - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 712-737
Persistent link: https://www.econbiz.de/10015154571
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Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
Tang, Qihe; Wang, Guojing; Yuen, Kam C. - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 362-370
Persistent link: https://www.econbiz.de/10003966599
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Characterization of upper comonotonicity via tail convex order
Nam, Hee Seok; Tang, Qihe; Yang, Fan - In: Insurance / Mathematics & economics 48 (2011) 3, pp. 368-373
Persistent link: https://www.econbiz.de/10008989292
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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
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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
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On additivity of tail comonotonic risks
Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung … - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 837-866
Persistent link: https://www.econbiz.de/10012195005