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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

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

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

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

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

Diversification Limit of Quantiles Under Dependence Uncertainty

Bignozzi, Valeria - 2016

In this paper, we investigate the asymptotic behavior of the portfolio diversification ratio based on Value-at-Risk (quantile) under dependence uncertainty, which we refer to as "worst-case diversification limit." We show that the worst-case diversification limit is equal to the upper limit of...

Persistent link: https://www.econbiz.de/10013004872

Estimation of the Haezendonck-Goovaerts risk measure for extreme risks

Zhao, Yanchun; Mao, Tiantian; Yang, Fan - In: Scandinavian actuarial journal 2021 (2021) 7, pp. 599-622

Persistent link: https://www.econbiz.de/10012624637

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

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

Inf-convolution, optimal allocations, and model uncertainty for tail risk measures

Liu, Fangda; Mao, Tiantian; Wang, Ruodu; Wei, Linxiao - In: Mathematics of operations research 47 (2022) 3, pp. 2494-2519

Persistent link: https://www.econbiz.de/10013375081