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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
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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
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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
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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
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Reinsurance premium principles based on weighted loss functions
Cai, Jun; Wang, Ying - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 903-923
Persistent link: https://www.econbiz.de/10012195013
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A new proof of Cheung’s characterization of comonotonicity
Mao, Tiantian; Hu, Taizhong - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 214-216
Persistent link: https://www.econbiz.de/10008989348
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Extreme value behavior of aggregate dependent risks
Chen, Die; Mao, Tiantian; Pan, Xiaoqing; Hu, Taizhong - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 99-108
Persistent link: https://www.econbiz.de/10009501695
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Risk concentration based on Expectiles for extreme risks under FGM copula
Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439
Persistent link: https://www.econbiz.de/10011398136
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Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
Mao, Tiantian; Hu, Taizhong - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 333-343
Persistent link: https://www.econbiz.de/10009669603
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Optimal capital allocation based on the Tail Mean-Variance model
Xu, Maochao; Mao, Tiantian - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 533-543
Persistent link: https://www.econbiz.de/10010227966