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On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest

Cai, Jun; Yang, Hailiang - In: Stochastic methods in reliability and risk management : …, (pp. 61-77). 2014

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010238845

Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

Bai, Lihua; Cai, Jun; Zhou, Ming - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 664-670

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010227909

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

Discrete time risk models under stochastic forces of interest

Cai, Jun (contributor) - 2001

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001597538

Density deconvolution with Laplace errors and unknown variance

Cai, Jun; Horrace, William C.; Parmeter, Christopher F. - In: Journal of productivity analysis : an official journal … 56 (2021) 2/3, pp. 103-113

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012656574

Penalized sieve estimation of zero-inefficiency stochastic frontiers

Cai, Jun; Horrace, William C.; Parmeter, Christopher F. - In: Journal of applied econometrics 39 (2024) 1, pp. 41-65

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014474436

Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency

Cai, Jun; Horrace, William C.; Lee, Yoonseok - In: Econometric reviews 43 (2024) 5, pp. 238-268

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014551521

Properties of stochastic arrangement increasing and their applications in allocation problems

Wei, Wei - In: Risks : open access journal 6 (2018) 2, pp. 1-12

There are extensive studies on the allocation problems in the field of insurance and finance. We observe that these studies, although involving different methodologies, share some inherent commonalities. In this paper, we develop a new framework for these studies with the tool of arrangement...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011866516

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

Single machine scheduling with stochastically dependent times

Wei, Wei - In: Journal of scheduling 22 (2019) 6, pp. 677-689

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012125314