Jun Cai

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

8

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1,124

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in Total Papers Citations

28

CROSSREF CITATIONS

15

Scholarly Papers (8)

1.

Distributionally Robust Optimization under Distorted Expectations

Number of pages: 68 Posted: 16 Apr 2020
University of Waterloo - Department of Statistics and Actuarial Science, Telfer School of Management, University of Ottawa and University of Science and Technology of China (USTC) - Department of Statistics and Finance
Downloads 341 (166,476)
Citation 6

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Distributionally robust optimization, distortion risk measure, convex risk measure, convex envelope

2.

Risk Measures Derived From a Regulator’s Perspective on the Regulatory Capital Requirements for Insurers

Number of pages: 39 Posted: 22 Feb 2018
Jun Cai and Tiantian Mao
University of Waterloo - Department of Statistics and Actuarial Science and University of Science and Technology of China (USTC) - Department of Statistics and Finance
Downloads 157 (350,212)
Citation 1

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Dutch Risk Measure, TVaR, Expectile, Coherent Risk Measure, Stop-Loss Reinsurance, Kuosuoka Representation, Portfolio Selection

3.

Pareto-Optimal Reinsurance Arrangements Under General Model Settings

Number of pages: 35 Posted: 21 Dec 2016
Jun Cai, Haiyan Liu and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 154 (356,006)
Citation 12

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Pareto optimality, optimal reinsurance, comonotonic-semilinearity, comonotonic-convexity, Tail-Value-at-Risk

4.

Convex Risk Functionals: Representation and Applications

Number of pages: 31 Posted: 07 Aug 2018 Last Revised: 22 Oct 2019
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 130 (407,091)
Citation 3

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Law-Invariant Convex Risk Functional, Dual Representation, Robust Evaluation, Optimal Reinsurance Design, Budget Constraint

5.

Asymptotic Equivalence of Risk Measures Under Dependence Uncertainty

Mathematical Finance, Forthcoming
Number of pages: 26 Posted: 20 Nov 2015 Last Revised: 23 Mar 2016
Jun Cai, Haiyan Liu and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 104 (480,407)
Citation 1

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risk aggregation; distortion risk measures; convex risk measures; dependence uncertainty; diversification

6.

Worst-case Risk Measures of Stop-Loss and Limited Loss Random Variables Under Distribution Uncertainty With Applications to Robust Reinsurance

Number of pages: 41 Posted: 25 Apr 2023 Last Revised: 01 Mar 2024
Jun Cai, Fangda Liu and Mingren Yin
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 86 (543,183)
Citation 1

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Stop-loss, limited loss, uncertainty set, Wasserstein distance, distortion risk measure, tail value-at-risk, quantile function, min-max problem, robust stop-loss reinsurance.

7.

Optimal Reinsurance in a Market of Multiple Reinsurers Under Law-Invariant Convex Risk Measures

Number of pages: 23 Posted: 02 Nov 2017
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 81 (563,178)
Citation 1

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Optimal reinsurance design, convex risk measure, Wang's premium principle

8.

Optimal Reinsurance with Expectile

Cai, J., Weng, C. (2016). Optimal reinsurance with expectile. Scandinavian Actuarial Journal 2016(7), 624-645.
Number of pages: 27 Posted: 06 Feb 2017
Jun Cai and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo
Downloads 71 (606,748)
Citation 4

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Reinsurance, Risk measure, Expectile, Coherent, Elicitable, Premium principle, Actuarial reserve, Risk margin, Liability