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Risk Measures Derived From a Regulator’s Perspective on the Regulatory Capital Requirements for Insurers

Cai, Jun - 2018

In this paper, we propose new risk measures from a regulator's perspective on the regulatory capital requirements for insurers. The proposed risk measures possess many desired properties including monotonicity, translation-invariance, positive homogeneity, subadditivity, nonnegative loading, and...

Persistent link: https://www.econbiz.de/10012926990

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

Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers

Cai, Jun; Mao, Tiantian - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 1065-1092

Persistent link: https://www.econbiz.de/10012307399

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

Bayes risk, elicitability, and the Expected Shortfall

Embrechts, Paul; Mao, Tiantian; Wang, Qiuqi; Wang, Ruodu - In: Mathematical Finance 31 (2021) 4, pp. 1190-1217

Persistent link: https://www.econbiz.de/10012538292

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

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

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

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

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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