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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

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

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

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

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; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326

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

Initial capital and margins required to secure a Japanese life insurance policy portfolio under variable interest rates

Sato, Manabu (contributor); Dickson, David C. M. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001731057

Multi-objective private wealth allocation without subportfolios

Cai, Jun; Ge, Chenliang - In: Economic modelling 29 (2012) 3, pp. 900-907

Persistent link: https://www.econbiz.de/10009545496

Asymptotic Equivalence of Risk Measures Under Dependence Uncertainty

Cai, Jun - 2016

In this paper we study the aggregate risk of inhomogeneous risks with dependence uncertainty, evaluated by a generic risk measure. We say that a pair of risk measures are asymptotically equivalent if the ratio of the worst-case values of the two risk measures is almost one for the sum of a large...

Persistent link: https://www.econbiz.de/10013002972