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Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest

Cai, Jun; Dickson, David C. M. - In: Insurance: Mathematics and Economics 32 (2003) 1, pp. 61-71

Persistent link: https://www.econbiz.de/10005375106

The preservation of classes of discrete distributions under convolution and mixing

Pavlova, Kristina P.; Cai, Jun; Willmot, Gordon E. - In: Insurance: Mathematics and Economics 38 (2006) 2, pp. 391-405

Persistent link: https://www.econbiz.de/10005375108

On the expected discounted penalty function at ruin of a surplus process with interest

Cai, Jun; Dickson, David C. M. - In: Insurance: Mathematics and Economics 30 (2002) 3, pp. 389-404

Persistent link: https://www.econbiz.de/10005375126

Ruin probabilities with a Markov chain interest model

Cai, Jun; Dickson, David C.M. - In: Insurance: Mathematics and Economics 35 (2004) 3, pp. 513-525

Persistent link: https://www.econbiz.de/10005375351

Multivariate risk model of phase type

Cai, Jun; Li, Haijun - In: Insurance: Mathematics and Economics 36 (2005) 2, pp. 137-152

Persistent link: https://www.econbiz.de/10005375496

Tick size change and liquidity provision on the Tokyo Stock Exchange

Ahn, Hee-Joon; Cai, Jun; Chan, Kalok; Hamao, Yasushi - In: Journal of the Japanese and International Economies 21 (2007) 2, pp. 173-194

Persistent link: https://www.econbiz.de/10005377370

Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China

Bailey, Warren; Cai, Jun; Cheung, Yan Leung; Wang, Fenghua - In: Journal of Banking & Finance 33 (2009) 1, pp. 9-19

Using a unique dataset from the Shanghai Stock Exchange, we study the relation between daily open-to-close stock returns and order imbalances, and the commonality in order imbalances across individual, institutional, and proprietary investors. We find that institutional (proprietary) order...

Persistent link: https://www.econbiz.de/10005201683

Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange

Ahn, Hee-Joon; Cai, Jun; Hamao, Yasushi; Ho, Richard Y.K. - In: Journal of Banking & Finance 29 (2005) 6, pp. 1483-1508

Persistent link: https://www.econbiz.de/10005213485

Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong

Ahn, Hee-Joon; Cai, Jun; Cheung, Yan Leung - In: Journal of Financial Markets 8 (2005) 4, pp. 421-451

Persistent link: https://www.econbiz.de/10005320026

'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow

Cai, Jun; Cheung, Yan-Leung; Lee, Raymond S. K.; … - In: Journal of International Money and Finance 20 (2001) 3, pp. 327-347

Persistent link: https://www.econbiz.de/10005339200