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Budget-constrained optimal reinsurance design under coherent risk measures

Cheung, Ka Chun; Chong, Wing Fung; Lo, Ambrose - In: Scandinavian actuarial journal 2019 (2019) 9, pp. 729-751

Persistent link: https://www.econbiz.de/10012194995

Reinsurance contract design with adverse selection

Cheung, Ka Chun; Yam, Sheung Chi Phillip; Yuen, F. L. - In: Scandinavian actuarial journal 2019 (2019) 9, pp. 784-798

Persistent link: https://www.econbiz.de/10012194998

On additivity of tail comonotonic risks

Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung … - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 837-866

Persistent link: https://www.econbiz.de/10012195005

Characterizations of optimal reinsurance treaties : a cost-benefit approach

Cheung, Ka Chun; Lo, Ambrose - In: Scandinavian actuarial journal (2017) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011771935

Robust and Pareto optimality of insurance contracts

Asimit, Alexandru V.; Bignozzi, Valeria; Cheung, Ka Chun; … - In: European journal of operational research : EJOR 262 (2017) 2, pp. 720-732

Persistent link: https://www.econbiz.de/10011798900

Inter-temporal mutual-fund management

Bensoussan, Alain; Cheung, Ka Chun; Li, Yiqun; Yam, … - In: Mathematical finance : an international journal of … 32 (2022) 3, pp. 825-877

Persistent link: https://www.econbiz.de/10013331049

On the diversification effect in solvency II for extremely dependent risks

Chen, Yongzhao; Cheung, Ka Chun; Yam, Sheung Chi Phillip; … - In: Risks : open access journal 11 (2023) 8, pp. 1-22

In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that...

Persistent link: https://www.econbiz.de/10014370410

Bowley solution under the reinsurer's default risk

Chen, Yanhong; Cheung, Ka Chun; Zhang, Yiying - In: Insurance : mathematics and economics 115 (2024), pp. 36-61

Persistent link: https://www.econbiz.de/10015066727

Multi-constrained optimal reinsurance model from the duality perspectives

Cheung, Ka Chun; He, Wanting; Wang, He - In: Insurance / Mathematics & economics 113 (2023), pp. 199-214

Persistent link: https://www.econbiz.de/10014466212

Modern actuarial risk theory : using R

Kaas, R.; Goovaerts, Marc J.; Dhaene, Jan; Denuit, Michel - 2009 - 2. ed., corr. 2. print.

Persistent link: https://www.econbiz.de/10003726725