Articles with public access mandates - Jun CaiLearn more
Not available anywhere: 8
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
Mandates: Natural Sciences and Engineering Research Council of Canada
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
Mandates: Natural Sciences and Engineering Research Council of Canada, National …
Risk measures based on behavioural economics theory
T Mao, J Cai
Finance and Stochastics 22, 367-393, 2018
Mandates: Natural Sciences and Engineering Research Council of Canada, National …
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
Mandates: Natural Sciences and Engineering Research Council of Canada, National …
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
Mandates: Natural Sciences and Engineering Research Council of Canada, National …
On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
J Cai, H Yang
Annals of Operations Research 212, 61-77, 2014
Mandates: Research Grants Council, Hong Kong
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
Mandates: Natural Sciences and Engineering Research Council of Canada, National …
Reinsurance premium principles based on weighted loss functions
J Cai, Y Wang
Scandinavian Actuarial Journal 2019 (10), 903-923, 2019
Mandates: Natural Sciences and Engineering Research Council of Canada
Available somewhere: 9
Pareto-optimal reinsurance arrangements under general model settings
J Cai, H Liu, R Wang
Insurance: Mathematics and Economics 77, 24-37, 2017
Mandates: Natural Sciences and Engineering Research Council of Canada
Optimal reinsurance with expectile
J Cai, C Weng
Scandinavian Actuarial Journal 2016 (7), 624-645, 2016
Mandates: Natural Sciences and Engineering Research Council of Canada
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
Mandates: Natural Sciences and Engineering Research Council of Canada, National …
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
Mandates: Natural Sciences and Engineering Research Council of Canada
Optimal reinsurance designs based on risk measures: A review
J Cai, Y Chi
Statistical Theory and Related Fields 4 (1), 1-13, 2020
Mandates: Natural Sciences and Engineering Research Council of Canada, National …
Convex risk functionals: Representation and applications
F Liu, J Cai, C Lemieux, R Wang
Insurance: Mathematics and Economics 90, 66-79, 2020
Mandates: Natural Sciences and Engineering Research Council of Canada, National …
Asymptotic equivalence of risk measures under dependence uncertainty
J Cai, H Liu, R Wang
Mathematical Finance 28 (1), 29-49, 2018
Mandates: Natural Sciences and Engineering Research Council of Canada
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
Mandates: Natural Sciences and Engineering Research Council of Canada, National …
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
Mandates: Natural Sciences and Engineering Research Council of Canada
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