Research output per year
Research output per year
Research output
- 7 Article
Search results
-
An Asymptotic Result on Catastrophe Insurance Losses
Chen, Y. & Liu, J., 2023, (Accepted/In press) In: North American Actuarial Journal. 28, 2, p. 426-437 12 p.Research output: Contribution to journal › Article › peer-review
-
An asymptotic study of systemic expected shortfall and marginal expected shortfall
Chen, Y. & Liu, J., Jul 2022, In: Insurance: Mathematics and Economics. 105, p. 238-251 14 p.Research output: Contribution to journal › Article › peer-review
-
Asymptotic capital allocation based on the higher moment risk measure
Chen, Y. & Liu, J., Aug 2024, In: European Actuarial Journal. 14, 2, p. 657-684 28 p.Research output: Contribution to journal › Article › peer-review
-
Asymptotics for a bidimensional risk model with two geometric Lévy price processes
Yang, Y., Wang, K., Liu, J. & Zhang, Z., 1 Apr 2019, In: Journal of Industrial and Management Optimization. 15, 2, p. 481-505 25 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Asymptotics for systemic risk with dependent heavy-Tailed losses
Liu, J. & Yang, Y., May 2021, In: ASTIN Bulletin. 51, 2, p. 571-605 35 p.Research output: Contribution to journal › Article › peer-review
-
Asymptotics for the conditional higher moment coherent risk measure with weak contagion
Liu, J. & Yi, Q., 2024, (Accepted/In press) In: ASTIN Bulletin. 55, 1, p. 121-143 23 p.Research output: Contribution to journal › Article › peer-review
-
Asymptotics of the Loss Based Tail Risk Measures in the presence of Extreme risks
Liu, J. & Shushi, T., Apr 2024, In: European Actuarial Journal. 14, 1, p. 205-224 20 p.Research output: Contribution to journal › Article › peer-review
-
Extremes for a general contagion risk measure
Ling, C. & Liu, J., 10 Jan 2022, (E-pub ahead of print) In: European Actuarial Journal. 12, 2, p. 579-605 27 p.Research output: Contribution to journal › Article › peer-review
-
Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
Liu, J. & Yang, Y., 2 Jan 2017, In: Stochastic Models. 33, 1, p. 97-115 19 p.Research output: Contribution to journal › Article › peer-review
-
Measuring Tail Operational Risk in Univariate and Multivariate Models with Extreme Losses
Yang, Y., Gong, Y. & Liu, J., 2023, In: Journal of Operational Risk.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
On the kesten-type inequality for randomly weighted sums with applications to an operational risk model
Gong, Y., Yang, Y. & Liu, J., 2021, In: Filomat. 35, 6, p. 1879-1888 10 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks
Chen, Y., Liu, J. & Yang, Y., Mar 2023, In: Methodology and Computing in Applied Probability. 25, 1, 14.Research output: Contribution to journal › Article › peer-review
-
Ruin with insurance and financial risks following the least risky FGM dependence structure
Chen, Y., Liu, J. & Liu, F., 1 May 2015, In: Insurance: Mathematics and Economics. 62, p. 98-106 9 p.Research output: Contribution to journal › Article › peer-review
