Jun Cai

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

8

DOWNLOADS

463

SSRN CITATIONS
Rank 24,237

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Top 24,237

in Total Papers Citations

7

CROSSREF CITATIONS

28

Scholarly Papers (8)

1.

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 106 (277,423)
Citation 6

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

2.

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 95 (298,442)

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

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 86 (320,503)
Citation 1

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

Asymptotic Equivalence of Risk Measures Under Dependence Uncertainty

Mathematical Finance, Vol. 28, Issue 1, pp. 29-49, 2018
Number of pages: 21 Posted: 17 Jan 2018
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 1 (742,116)
Citation 1
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risk aggregation, distortion risk measures, convex risk measures, dependence uncertainty, diversification

4.

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 58 (394,172)
Citation 1

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

5.

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 52 (414,643)
Citation 1

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

6.

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 38 (469,684)

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

7.

Distributionally Robust Optimization under Distorted Expectations

Number of pages: 68 Posted: 16 Apr 2020
Jun Cai, Jonathan Li and Tiantian Mao
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 26 (535,759)

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

8.

Optimal Reciprocal Reinsurance Treaties Under the Joint Survival Probability and the Joint Profitable Probability

Journal of Risk and Insurance, Vol. 80, Issue 1, pp. 145-168, 2013
Number of pages: 24 Posted: 26 Feb 2013
University of Waterloo - Department of Statistics and Actuarial Science, affiliation not provided to SSRN, Taiping Insurance Group - Business Management Dept. and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 1 (707,942)
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