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Risk concentration based on Expectiles for extreme risks under FGM copula
Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439
Persistent link: https://www.econbiz.de/10011398136
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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
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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
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Extreme value behavior of aggregate dependent risks
Chen, Die; Mao, Tiantian; Pan, Xiaoqing; Hu, Taizhong - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 99-108
Persistent link: https://www.econbiz.de/10009501695
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Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
Mao, Tiantian; Hu, Taizhong - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 333-343
Persistent link: https://www.econbiz.de/10009669603
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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
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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