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Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
Tang, Qihe; Yang, Fan - In: Insurance / Mathematics & economics 59 (2014), pp. 311-320
Persistent link: https://www.econbiz.de/10010469980
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Characterization of upper comonotonicity via tail convex order
Nam, Hee Seok; Tang, Qihe; Yang, Fan - In: Insurance / Mathematics & economics 48 (2011) 3, pp. 368-373
Persistent link: https://www.econbiz.de/10008989292
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On the ruin probabilities of a bidimensional perturbed risk model
Li, Junhai; Liu, Zaiming; Tang, Qihe - In: Insurance / Mathematics & economics 41 (2007) 1, pp. 185-195
Persistent link: https://www.econbiz.de/10003755694
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Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
Tang, Qihe; Wei, Li - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 19-31
Persistent link: https://www.econbiz.de/10003953207
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Asymptotics of random contractions
Hashorva, Enkelejd; Pakes, Anthony G.; Tang, Qihe - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 405-414
Persistent link: https://www.econbiz.de/10008746996
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Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
Tang, Qihe; Wang, Guojing; Yuen, Kam C. - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 362-370
Persistent link: https://www.econbiz.de/10003966599
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On partial hedging and counter-monotonic sums
Cheung, Ka Chun; Dhaene, Jan; Tang, Qihe - 2011
Persistent link: https://www.econbiz.de/10009485837
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A comonotonic image of independence for additive risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004
This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...
Persistent link: https://www.econbiz.de/10011334834
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Asymptotic analysis of the loss given default in the presence of multivariate regular variation
Tang, Qihe; Yuan, Zhongyi - In: North American actuarial journal 17 (2013) 3, pp. 253-271
Persistent link: https://www.econbiz.de/10011338512
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Reducing risk by merging counter-monotonic risks
Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe - In: Insurance / Mathematics & economics 54 (2014), pp. 58-65
Persistent link: https://www.econbiz.de/10010259677