| Publication | Date of Publication | Type |
|---|
Random distortion risk measures
Insurance Mathematics & Economics | 2024-05-24 | Paper |
Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
Frontiers of Mathematics | 2024-04-19 | Paper |
Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
Mathematical Finance | 2024-01-31 | Paper |
A generalization of Archimedean and Marshall-Olkin copulas family
Fuzzy Sets and Systems | 2023-10-26 | Paper |
Inference of high quantiles of a heavy-tailed distribution from block data
Statistics | 2023-08-17 | Paper |
Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
Probability in the Engineering and Informational Sciences | 2022-11-22 | Paper |
Multivariate composite copulas
ASTIN Bulletin | 2022-04-04 | Paper |
Corrigendum to: ``Multivariate composite copulas
ASTIN Bulletin | 2022-04-04 | Paper |
Multivariate Bernstein Fréchet copulas
Statistics and Its Interface | 2022-03-18 | Paper |
| scientific article; zbMATH DE number 7491747 (Why is no real title available?) | 2022-03-17 | Paper |
A copula-based approximation to Markov chains
Science China. Mathematics | 2022-03-15 | Paper |
| Modeling the dependence of corporate default | 2021-12-17 | Paper |
Shuffle of min's random variable approximations of bivariate copulas' realization
Communications in Statistics: Theory and Methods | 2021-10-28 | Paper |
Bernstein copulas and composite Bernstein copulas
Mathematical Lectures from Peking University | 2020-11-12 | Paper |
Copula-based Markov process
Insurance Mathematics & Economics | 2020-03-20 | Paper |
Decomposing correlated random walks on common and counter movements
Statistics & Probability Letters | 2020-01-20 | Paper |
A family of transformed copulas with a singular component
Fuzzy Sets and Systems | 2019-10-16 | Paper |
CreditRisk\(^+\) model with dependent risk factors
North American Actuarial Journal | 2019-05-28 | Paper |
Composite Bernstein copulas
ASTIN Bulletin | 2018-06-04 | Paper |
Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks
Acta Mathematicae Applicatae Sinica. English Series | 2018-05-29 | Paper |
Worst-case range value-at-risk with partial information
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Stochastic distortion and its transformed copula
Insurance Mathematics & Economics | 2018-04-12 | Paper |
Remarks on composite Bernstein copula and its application to credit risk analysis
Insurance Mathematics & Economics | 2017-11-23 | Paper |
On a generalization of Archimedean copula family
Statistics & Probability Letters | 2017-10-06 | Paper |
Sign-changing solutions to discrete fourth-order Neumann boundary value problems
Advances in Difference Equations | 2017-07-04 | Paper |
Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula
Frontiers of Mathematics in China | 2016-11-02 | Paper |
Copula function's concentration set and its concentrated partition
Statistics and Its Interface | 2015-12-09 | Paper |
Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
Journal of Systems Science and Complexity | 2015-04-27 | Paper |
Dependence structure between LIBOR rates by copula method
Frontiers of Mathematics in China | 2015-03-02 | Paper |
Distorted mix method for constructing copulas with tail dependence
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
Insurance Mathematics & Economics | 2014-04-15 | Paper |
| scientific article; zbMATH DE number 6283770 (Why is no real title available?) | 2014-04-14 | Paper |
Jackknife empirical likelihood method for some risk measures and related quantities
Insurance Mathematics & Economics | 2014-04-10 | Paper |
Jackknife empirical likelihood for parametric copulas
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
Numerical algorithms for Panjer recursion by applying Bernstein approximation
Frontiers of Mathematics in China | 2013-11-28 | Paper |
Weighted estimation of the dependence function for an extreme-value distribution
Bernoulli | 2013-05-30 | Paper |
Weighted estimation of the dependence function for an extreme-value distribution
Bernoulli | 2013-05-30 | Paper |
Saddlepoint approximation for moments of random variables
Frontiers of Mathematics in China | 2013-04-10 | Paper |
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
Finance and Stochastics | 2013-04-02 | Paper |
Asymptotics for dependent Bernoulli random variables
Statistics & Probability Letters | 2012-05-18 | Paper |
A class of multivariate copulas with bivariate Fréchet marginal copulas
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Approximation of bivariate copulas by patched bivariate Fréchet copulas
Insurance Mathematics & Economics | 2011-08-01 | Paper |
On a kind of integrals of empirical processes concerning insurance risk
Science in China. Series A | 2011-07-21 | Paper |
Bias reduction for high quantiles
Journal of Statistical Planning and Inference | 2010-06-03 | Paper |
Decomposition of a Schur-constant model and its applications
Insurance Mathematics & Economics | 2009-06-10 | Paper |
Jackknife method for intermediate quantiles
Journal of Statistical Planning and Inference | 2009-04-30 | Paper |
Conditional recursive equations on excess-of-loss reinsurance
Applied Mathematics and Mechanics. (English Edition) | 2008-09-01 | Paper |
Bivariate recursive equations on excess-of-loss reinsurance
Acta Mathematica Sinica, English Series | 2007-06-07 | Paper |
Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
Insurance Mathematics & Economics | 2006-10-31 | Paper |
Recursive equations for compound distribution with the severity distribution of the mixed type
Science in China. Series A | 2005-11-30 | Paper |
The compound Poisson random variable's approximation to the individual risk model
Insurance Mathematics & Economics | 2005-08-01 | Paper |
| scientific article; zbMATH DE number 1979779 (Why is no real title available?) | 2003-09-14 | Paper |
Bayesian procedure in a class of classification problems
Journal of Lanzhou University. Natural Sciences | 2002-04-07 | Paper |
| scientific article; zbMATH DE number 1116649 (Why is no real title available?) | 1998-09-06 | Paper |
Asymptotic Distributions of Multivariate Intermediate Order Statistics
Theory of Probability & Its Applications | 1998-07-01 | Paper |
| scientific article; zbMATH DE number 850841 (Why is no real title available?) | 1996-08-04 | Paper |
| scientific article; zbMATH DE number 847146 (Why is no real title available?) | 1996-02-25 | Paper |
| scientific article; zbMATH DE number 679738 (Why is no real title available?) | 1995-02-14 | Paper |
| scientific article; zbMATH DE number 679739 (Why is no real title available?) | 1994-11-20 | Paper |
| scientific article; zbMATH DE number 205778 (Why is no real title available?) | 1993-08-17 | Paper |
