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type_genre:"Article in journal"
~person:"Guillén, Montserrat"
~person:"Mao, Tiantian"
~subject:"Portfolio selection"
~subject:"Risk measure"
~type_genre:"Reprint"
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Portfolio selection
Risk measure
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28
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28
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17
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16
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16
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Guillén, Montserrat
Mao, Tiantian
Wang, Ruodu
19
Righi, Marcelo Brutti
18
Rosazza Gianin, Emanuela
13
Huang, Xiaoxia
12
Wong, Wing Keung
12
Gollier, Christian
11
Cai, Jun
10
Eeckhoudt, Louis R.
10
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10
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10
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9
Denuit, Michel
9
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9
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9
Rüschendorf, Ludger
9
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8
Bali, Turan G.
8
Bellini, Fabio
8
Cheung, Ka Chun
8
Kakushadze, Zura
8
Pichler, Alois
8
Satchell, Stephen
8
Tang, Qihe
8
Asimit, Alexandru V.
7
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7
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7
Munari, Cosimo-Andrea
7
Rudloff, Birgit
7
Siu, Tak Kuen
7
Su, Jianxi
7
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7
Wagner, Niklas F.
7
Zaremba, Adam
7
Balbás, Beatriz
6
Boonen, Tim J.
6
Bäuerle, Nicole
6
Chiang, Thomas C.
6
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Insurance / Mathematics & economics
11
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2
ASTIN bulletin : the journal of the International Actuarial Association
1
Finance and stochastics
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Journal of risk
1
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ECONIS (ZBW)
19
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1
Continuing risks
Constantinescu, Corina
;
Guillén, Montserrat
; …
- In:
Risks : open access journal
11
(
2023
)
1
,
pp. 1-2
Persistent link: https://www.econbiz.de/10014232583
Saved in:
2
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
3
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:
4
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:
5
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:
6
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
7
An examination of the tail contribution to distortion risk measures
Santolino, Miguel
;
Belles-Sampera, James
;
Sarabia …
- In:
Journal of risk
23
(
2021
)
6
,
pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
Saved in:
8
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:
9
Forecasting compositional risk allocations
Boonen, Tim J.
;
Guillén, Montserrat
;
Santolino, Miguel
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 79-86
Persistent link: https://www.econbiz.de/10011990442
Saved in:
10
The average risk sharing problem under risk measure and expected utility theory
Mao, Tiantian
;
Hu, Jiuyun
;
Liu, Haiyan
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 170-179
Persistent link: https://www.econbiz.de/10011944126
Saved in:
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