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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

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

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

Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance

Cai, Jun; Liu, Fangda - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326

Persistent link: https://www.econbiz.de/10015047732

Optimal reinsurance with regulatory initial capital and default risk

Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Insurance / Mathematics & economics 57 (2014), pp. 13-24

Persistent link: https://www.econbiz.de/10010402747

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

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

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

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

Bank tail risk in China

Yang, Huan; Cai, Jun; Huang, Lin - In: International studies of economics 19 (2024) 2, pp. 186-222

In this study, we investigate the tail dependency between bank stocks in China and 35 common risk factors. We measure univariate and multivariate conditional tail risk probabilities. The evidence indicates that tail events from risk factors in the banking, security trading, real estate, and...

Persistent link: https://www.econbiz.de/10015063904