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~person:"Cai, Jun"
~person:"Wilkens, Sascha"
~subject:"Measurement"
~subject:"Modellierung"
~subject:"Risiko"
~type:"article"
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Cai, Jun
Wilkens, Sascha
Righi, Marcelo Brutti
20
Wang, Ruodu
20
Mao, Tiantian
12
Rosazza Gianin, Emanuela
12
Brandtner, Mario
10
Boonen, Tim J.
9
Müller, Fernanda Maria
9
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8
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8
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7
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7
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7
Daníelsson, Jón
7
Laeven, Roger J. A.
7
Landsman, Zinoviy
7
Rudloff, Birgit
7
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6
Dowd, Kevin
6
Guillén, Montserrat
6
Hu, Taizhong
6
Jiang, Wenjun
6
Liu, Haiyan
6
Munari, Cosimo-Andrea
6
Peng, Liang
6
Vanduffel, Steven
6
Xu, Huifu
6
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5
Bernardi, Mauro
5
Chen, Yanhong
5
Chen, Zhiping
5
Delage, Erick
5
Embrechts, Paul
5
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5
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5
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5
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3
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1
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1
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1
International Journal of Financial Markets and Derivatives : IJFMD
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1
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ECONIS (ZBW)
11
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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
Computational challenges for value-at-risk and expected shortfall : Chebyshev interpolation to the rescue?
Wilkens, Sascha
- In:
International Journal of Financial Markets and …
8
(
2021
)
2
,
pp. 101-115
Persistent link: https://www.econbiz.de/10012598655
Saved in:
3
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:
4
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:
5
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:
6
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:
7
Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha
- In:
Journal of risk management in financial institutions
12
(
2019
)
3
,
pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
Saved in:
8
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:
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
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:
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