Ka Chun Cheung

The University of Hong Kong

Pokfulam Road

Hong Kong, Pokfulam HK

China

SCHOLARLY PAPERS

12

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1,069

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20

CROSSREF CITATIONS

10

Scholarly Papers (12)

1.

Bounds for Sums of Random Variables When the Marginals and the Variance of the Sum are Given

Scandinavian Actuarial Journal, Forthcoming
Number of pages: 18 Posted: 26 Mar 2009 Last Revised: 03 Nov 2010
Ka Chun Cheung and Steven Vanduffel
The University of Hong Kong and Vrije Universiteit Brussel (VUB)
Downloads 347 (131,608)
Citation 1

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comonotonicity, copula, dependence, solvency, Basel II, Solvency II, Value-at-Risk, Tail Value-at-Risk

2.

Optimal Reinsurance in the Presence of Counterparty Default Risk

Insurance: Mathematics and Economics, 2013, Volume 53, issue 3, p. 690–697
Number of pages: 17 Posted: 07 May 2013 Last Revised: 17 Nov 2014
Cass Business School, City, University of London, University of Calgary and The University of Hong Kong
Downloads 124 (338,302)
Citation 4

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Counterparty Default Risk, Distorted Risk Measure, Expected Policyholder Deficit, Premium Principle, Optimal Reinsurance, Value-at-Risk

3.

Robust and Pareto Optimality of Insurance Contracts

European Journal of Operational Research, 262(2), pp. 720–732. doi:10.1016/j.ejor.2017.04.029.
Number of pages: 32 Posted: 03 Sep 2016 Last Revised: 08 Feb 2018
Cass Business School, City, University of London, Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, The University of Hong Kong, University of Essex and Queen Mary, University of London
Downloads 107 (375,625)
Citation 7

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Uncertainty modelling, Linear programming, Robust/Pareto optimal insurance, Risk measure, Robust optimisation

4.

Optimal Reinsurance from the Perspectives of Both Insurers and Reinsurers Under General Distortion Risk Measures

Number of pages: 31 Posted: 06 Oct 2017
Ka Chun Cheung and Wenyuan Wang
The University of Hong Kong and Xiamen University
Downloads 92 (415,149)
Citation 1

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Reinsurance, Distortion risk measure, Generalized distortion premium principle, Constraints

Explicit Solutions for a General Class of Optimal Allocation Problems

Number of pages: 20 Posted: 18 May 2013
Ka Chun Cheung, Jan Dhaene, Yian Rong and S. C. P. Yam
The University of Hong Kong, Katholieke Universiteit Leuven, The University of Hong Kong, Hong Kong, China. Department of Statistics & Actuarial Science and The Chinese University of Hong Kong. Department of Statistics
Downloads 47 (598,656)

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Optimal allocation, Comonotonicity, Convex function, Stop-loss

Explicit Solutions for a General Class of Optimal Allocation Problems

Number of pages: 20 Posted: 18 Jan 2014 Last Revised: 10 Feb 2022
Ka Chun Cheung, Jan Dhaene, Yian Rong and S. C. P. Yam
The University of Hong Kong, Katholieke Universiteit Leuven, The University of Hong Kong, Hong Kong, China. Department of Statistics & Actuarial Science and The Chinese University of Hong Kong. Department of Statistics
Downloads 31 (699,641)

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Optimal allocation, Comonotonicity, Convex function, Stop-loss

6.

Budget-Constrained Optimal Reinsurance Design Under Coherent Risk Measures

Number of pages: 25 Posted: 30 Nov 2017
Ka Chun Cheung, Wing Fung Chong and Ambrose Lo
The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Iowa - Department of Statistics & Actuarial Science
Downloads 74 (472,158)
Citation 2

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Budget constraint; Distortion; TVaR; Mini-max Theorem; Neyman-Pearson

7.

On Partial Hedging and Counter-Monotonic Sums

Number of pages: 14 Posted: 01 Dec 2011
Ka Chun Cheung, Jan Dhaene and Qihe Tang
The University of Hong Kong, Katholieke Universiteit Leuven and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 67 (497,934)
Citation 2

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hedging, comonotonicity, counter-monotonicity, convex order, Tail Value-at-Risk

8.
Downloads 58 (534,776)
Citation 4

Ordered Random Vectors and Equality in Distribution

Number of pages: 23 Posted: 12 Jan 2013
The University of Hong Kong, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 44 (615,415)

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supermodular order, concordance order, expected utility, distorted expectation, comonotonicity

Ordered Random Vectors and Equality in Distribution

KU Leuven - Faculty of Economics and Business Working Paper No. AFI_1377
Number of pages: 25 Posted: 18 May 2013
The University of Hong Kong, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 14 (849,258)
Citation 4

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supermodular order, concordance order, expected utility, distorted expectation, comonotonicity

9.

Convex Ordering for Insurance Preferences

Insurance: Mathematics and Economics, 64:409-416
Number of pages: 24 Posted: 23 Apr 2015 Last Revised: 26 Aug 2015
Ka Chun Cheung, Wing Fung Chong and S. C. P. Yam
The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and The Chinese University of Hong Kong. Department of Statistics
Downloads 41 (619,078)
Citation 1

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Convex ordering, Karlin-Novikoff-Stoyan-Taylor crossing conditions, Value-at-Risk, Average Value-at-Risk, Optimal insurance decision problem

10.

Pareto-Optimal Insurance Contracts With Premium Budget and Minimum Charge Constraints

Number of pages: 22 Posted: 13 Jan 2020
Cass Business School, City, University of London, The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Essex
Downloads 36 (648,227)

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Bargaining power, Minimum charge, Optimal insurance contract design, Pareto optimality, Premium budget, Proportional Hazard Transformation, Tail Value-at-Risk, Value-at-Risk

11.

Multi-Constrained Optimal Reinsurance Model from the Generalized Neyman-Pearson and the Daulity Perspectives

Number of pages: 33 Posted: 07 Nov 2022
Ka Chun Cheung, Wanting He and He Wang
The University of Hong Kong, The University of Hong Kong and Southern University of Science and Technology
Downloads 23 (740,746)

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Optimal Reinsurance, Generalized Neyman-Pearson Lemma, Distortion Risk Measure, Duality.

12.

Tail Mutual Exclusivity and Tail-VaR Lower Bounds

Number of pages: 22 Posted: 03 Mar 2015
Ka Chun Cheung, Michel Denuit and Jan Dhaene
The University of Hong Kong, Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 22 (748,740)

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Mutual exclusivity, stop-loss transform, tail convex order, risk measures