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person:"Pesaran, M. Hashem"
~accessRights:"restricted"
~person:"Lo, Andrew W."
~person:"Mao, Tiantian"
~subject:"Credit risk"
~subject:"Theory"
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Pesaran, M. Hashem
Lo, Andrew W.
Mao, Tiantian
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1
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
Saved in:
2
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
3
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Stop-loss strategies with serial correlation, regime switching, and transaction costs
Lo, Andrew W.
;
Remorov, Alexander
- In:
Journal of financial markets
34
(
2017
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011815030
Saved in:
7
Risk and risk management in the credit card industry
Butaru, Florentin
;
Chen, Qingqing
;
Clark, Brian
;
Das, Sanmay
- In:
Journal of banking & finance
72
(
2016
),
pp. 218-239
Persistent link: https://www.econbiz.de/10011635514
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