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On the expected discounted penalty function at ruin of a surplus process with interest
Cai, Jun; Dickson, David C. M. - In: Insurance: Mathematics and Economics 30 (2002) 3, pp. 389-404
Persistent link: https://www.econbiz.de/10005375126
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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
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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
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Optimal reinsurance from the perspectives of both an insurer and a reinsurer
Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Astin bulletin : the journal of the International … 46 (2016) 3, pp. 815-849
Persistent link: https://www.econbiz.de/10011670010
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Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Bi, Junna; Cai, Jun - In: Insurance / Mathematics & economics 85 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10011990589
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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
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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
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Joint insolvency analysis of a shared MAP risk process : a capital allocation application
Cai, Jun; Landriault, David; Shi, Tianxiang; Wei, Wei - In: North American actuarial journal 21 (2017) 2, pp. 178-192
Persistent link: https://www.econbiz.de/10011858008
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Reinsurance premium principles based on weighted loss functions
Cai, Jun; Wang, Ying - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 903-923
Persistent link: https://www.econbiz.de/10012195013
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Convex risk functionals : representation and applications
Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu - In: Insurance / Mathematics & economics 90 (2020), pp. 66-79
Persistent link: https://www.econbiz.de/10012169500