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Prof. dr. Jing Yao
Prof. dr. Jing Yao
Adresse e-mail validée de suda.edu.cn
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Année
How robust is the value-at-risk of credit risk portfolios?
C Bernard, L Rüschendorf, S Vanduffel, J Yao
The European Journal of Finance 23 (6), 507-534, 2017
582017
Optimal portfolios with downside risk
F Klebaner, Z Landsman, U Makov, J Yao
Quantitative Finance 17 (3), 315-325, 2017
372017
Some Stein-type inequalities for multivariate elliptical distributions and applications
Z Landsman, S Vanduffel, J Yao
Statistics & Probability Letters 97, 54-62, 2015
192015
Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models
T Shushi, J Yao
Insurance: Mathematics and Economics 93, 178-186, 2020
182020
A note on Stein's lemma for multivariate elliptical distributions
Z Landsman, S Vanduffel, J Yao
Journal of Statistical Planning and Inference 143 (11), 2016-2022, 2013
182013
Double trigger agricultural insurance products with weather index and yield index
Y Xiao, J Yao
China Agricultural Economic Review 11 (2), 299-316, 2019
142019
A Stein Type Lemma for the Multivariate Generalized Hyperbolic Distribution
S Vanduffel, J Yao
European Journal of Operational Research, 2016
142016
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
M Zhou, J Dhaene, J Yao
Insurance: Mathematics and Economics 79, 92-100, 2018
132018
Closed‐form approximations for spread options in Lévy markets
J Van Belle, S Vanduffel, J Yao
Applied Stochastic Models in Business and Industry 35 (3), 732-746, 2019
122019
On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality
X Deng, J Yao
Communications in Statistics-Theory and Methods 47 (21), 5346-5356, 2018
122018
The threshold effect of climate risk and the non-linear role of climate policy uncertainty on insurance demand: Evidence from OECD countries
B Liu, W Yin, G Chen, J Yao
Finance Research Letters 55, 103820, 2023
82023
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
G Deelstra, G Rayée, S Vanduffel, J Yao
ASTIN Bulletin: The Journal of the IAA 44 (2), 237-276, 2014
62014
Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
Z Li, J Luo, J Yao
Journal of Computational and Applied Mathematics 391, 113459, 2021
42021
Correlation matrices with average constraints
J Tuitman, S Vanduffel, J Yao
Statistics & Probability Letters 165, 108868, 2020
42020
A note on joint mix random vectors
Y Xiao, J Yao
Communications in Statistics-Theory and Methods 49 (12), 3063-3072, 2020
32020
Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
Y Yang, G Wang, J Yao
Insurance: Mathematics and Economics 114, 79-107, 2024
12024
Downside risk optimization with random targets and portfolio amplitude
Z Landsman, U Makov, J Yao, M Zhou
The European Journal of Finance 28 (16), 1642-1663, 2022
12022
Closed-form approximations for basket option pricing under normal tempered stable Lévy model
D Hu, H Sayit, J Yao, Q Zhong
The North American Journal of Economics and Finance 74, 102233, 2024
2024
Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science
C Yin, J Yao, Y Yang
Statistical Papers, 1-30, 2024
2024
A Generalized Tail Mean-Variance Model for Optimal Capital Allocation
Y Yang, G Wang, J Yao, H Xie
Available at SSRN 4816231, 2024
2024
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