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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

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

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

Adjusted Rényi entropic value-at-risk

Zou, Zhenfeng; Wu, Qinyu; Xia, Zichao; Hu, Taizhong - In: European journal of operational research : EJOR 306 (2023) 1, pp. 255-268

Persistent link: https://www.econbiz.de/10014276754

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

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

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

Risk concentration based on Expectiles for extreme risks under FGM copula

Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439

Persistent link: https://www.econbiz.de/10011398136