| Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance J Cai, F Liu, M Yin European Journal of Operational Research 318 (1), 310-326, 2024 | 2 | 2024 |
| Distributionally robust optimization under distorted expectations J Cai, JYM Li, T Mao Operations Research, 2023 | 18 | 2023 |
| A multivariate CVaR risk measure from the perspective of portfolio risk management J Cai, H Jia, T Mao Scandinavian Actuarial Journal 2022 (3), 189-215, 2022 | 4 | 2022 |
| Equilibrium reinsurance-investment strategies with partial information and common shock dependence J Bi, J Cai, Y Zeng Annals of Operations Research 307, 1-24, 2021 | 13 | 2021 |
| Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure J Cai, Y Wang Insurance: Mathematics and Economics 100, 329-349, 2021 | 14 | 2021 |
| Risk measures derived from a regulator’s perspective on the regulatory capital requirements for insurers J Cai, T Mao ASTIN Bulletin: The Journal of the IAA 50 (3), 1065-1092, 2020 | 9 | 2020 |
| Responses to discussions on ‘Optimal reinsurance designs based on risk measures: a review’ J Cai, Y Chi Statistical Theory and Related Fields 4 (1), 26-27, 2020 | | 2020 |
| Optimal reinsurance designs based on risk measures: A review J Cai, Y Chi Statistical Theory and Related Fields 4 (1), 1-13, 2020 | 41 | 2020 |
| A hybrid model of optimal reinsurance: a discussion of ‘Optimal reinsurance designs based on risk measures: a review’by Jun Cai and Yichun Chi J Cai, Y Chi | | 2020 |
| Convex risk functionals: Representation and applications F Liu, J Cai, C Lemieux, R Wang Insurance: Mathematics and Economics 90, 66-79, 2020 | 30 | 2020 |
| Reinsurance premium principles based on weighted loss functions J Cai, Y Wang Scandinavian Actuarial Journal 2019 (10), 903-923, 2019 | 4 | 2019 |
| Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets J Bi, J Cai Insurance: Mathematics and Economics 85, 1-14, 2019 | 58 | 2019 |
| Risk measures based on behavioural economics theory T Mao, J Cai Finance and Stochastics 22, 367-393, 2018 | 28 | 2018 |
| Asymptotic equivalence of risk measures under dependence uncertainty J Cai, H Liu, R Wang Mathematical Finance 28 (1), 29-49, 2018 | 29 | 2018 |
| Pareto-optimal reinsurance arrangements under general model settings J Cai, H Liu, R Wang Insurance: Mathematics and Economics 77, 24-37, 2017 | 68 | 2017 |
| Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures J Cai, Y Wang, T Mao Insurance: Mathematics and Economics 75, 105-116, 2017 | 31 | 2017 |
| Joint insolvency analysis of a shared MAP risk process: a capital allocation application J Cai, D Landriault, T Shi, W Wei North American Actuarial Journal 21 (2), 178-192, 2017 | 9 | 2017 |
| Optimal reinsurance from the perspectives of both an insurer and a reinsurer J Cai, C Lemieux, F Liu ASTIN Bulletin: The Journal of the IAA 46 (3), 815-849, 2016 | 77 | 2016 |
| Optimal reinsurance with expectile J Cai, C Weng Scandinavian Actuarial Journal 2016 (7), 624-645, 2016 | 59 | 2016 |
| Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks J Cai, W Wei Journal of Multivariate Analysis 138, 156-169, 2015 | 44 | 2015 |
