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An asymptotic study of systemic expected shortfall and marginal expected shortfall

Chen, Yiqing; Liu, Jiajun - In: Insurance / Mathematics & economics 105 (2022), pp. 238-251

Persistent link: https://www.econbiz.de/10013349026

Interplay of subexponential and dependent insurance and financial risks

Chen, Yiqing - In: Insurance / Mathematics & economics 77 (2017), pp. 78-83

Persistent link: https://www.econbiz.de/10011783904

Measuring tail operational risk in univariate and multivariate models with extreme losses

Yang, Yang; Gong, Yishan; Liu, Jiajun - In: The journal of operational risk 18 (2023) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10014490082

Asymptotics for systemic risk with dependent heavy-tailed losses

Liu, Jiajun; Yang, Yang - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 571-605

Persistent link: https://www.econbiz.de/10012523256

Myanmar's situation under NLD governance and China-Myanmar co-construction OBOR

Liu, Wu; Liu, Jiajun - In: Annual report on the development of the Indian Ocean … (2017), pp. 307-331

Persistent link: https://www.econbiz.de/10012023978

Correlation-based investment strategies : a comparison between Chinese and US stock markets

Zhang, Zhehao; Xing, Ruina; Liu, Jiajun; Shao, Yifei - In: Pacific-Basin finance journal 82 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014463514

A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks

Chen, Yiqing; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 75-81

Persistent link: https://www.econbiz.de/10011702058

Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times

Chen, Yiqing; White, Toby; Yuen, Kam Chuen - In: Insurance / Mathematics & economics 97 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012491954

The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims

Chen, Yiqing; Ng, Kai W. - In: Insurance: Mathematics and Economics 40 (2007) 3, pp. 415-423

Persistent link: https://www.econbiz.de/10005374813

Asymptotic results for conditional measures of association of a random sum

Asimit, Alexandru V.; Chen, Yiqing - In: Insurance: Mathematics and Economics 60 (2015) C, pp. 11-18

Asymptotic results are obtained for several conditional measures of association. The chosen random variables are the first two order statistics and the total sum within a random sum. Many of the results have confirmed the “one-jump” property of the risk model. Non-trivial limits are...

Persistent link: https://www.econbiz.de/10011190011