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Risk measure
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Cai, Jun
17
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3
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3
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2
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2
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ECONIS (ZBW)
17
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1
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
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2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
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