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~person:"Cai, Jun"
~person:"Stoja, Evarist"
~source:"econis"
~subject:"ARCH-Modell"
~subject:"Prognoseverfahren"
~subject:"Risk"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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20
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14
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9
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Cai, Jun
Stoja, Evarist
Wang, Ruodu
21
Righi, Marcelo Brutti
19
Mao, Tiantian
12
Rosazza Gianin, Emanuela
12
Gerlach, Richard
11
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10
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9
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9
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9
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8
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8
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8
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8
Furman, Edward
8
Giot, Pierre
8
Guillén, Montserrat
8
Hammoudeh, Shawkat
8
Herrera, Rodrigo
8
Kim, Young Shin
8
Pichler, Alois
8
Tang, Qihe
8
Tiwari, Aviral Kumar
8
Weiß, Gregor
8
Asimit, Alexandru V.
7
Chen, Cathy W. S.
7
Chlebus, Marcin
7
Francq, Christian
7
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7
Karmakar, Madhusudan
7
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7
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7
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7
Peng, Liang
7
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7
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7
Su, Jung-bin
7
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7
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3
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2
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1
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1
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1
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1
Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
Cai, Jun
;
Liu, Fangda
;
Yin, Mingren
- In:
European journal of operational research : EJOR
318
(
2024
)
1
,
pp. 310-326
Persistent link: https://www.econbiz.de/10015047732
Saved in:
2
Does systematic tail risk matter?
Stoja, Evarist
;
Polanski, Arnold
;
Linh Hoang Nguyen
; …
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014245969
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
Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
Cai, Jun
;
Wang, Ying
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 329-349
Persistent link: https://www.econbiz.de/10012622397
Saved in:
5
Bank stocks, risk factors, and tail behavior
Yang, Huan
;
Cai, Jun
;
Huang, Lin
;
Marcus, Alan J.
- In:
Journal of empirical finance
63
(
2021
),
pp. 203-229
Persistent link: https://www.econbiz.de/10013259284
Saved in:
6
Oil stocks, risk factors, and tail behavior
Lian, Ziying
;
Cai, Jun
;
Webb, Robert I.
- In:
Energy economics
91
(
2020
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012518738
Saved in:
7
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:
8
Systematic extreme downside risk
Harris, Richard D. F.
;
Nguyen, Linh
;
Stoja, Evarist
- In:
Journal of international financial markets, …
61
(
2019
),
pp. 128-142
Persistent link: https://www.econbiz.de/10012128287
Saved in:
9
Asymptotic equivalence of risk measures under dependence uncertainty
Cai, Jun
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 29-49
Persistent link: https://www.econbiz.de/10011969153
Saved in:
10
Risk measures based on behavioural economics theory
Mao, Tiantian
;
Cai, Jun
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 367-393
Persistent link: https://www.econbiz.de/10011945793
Saved in:
1
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