Author Page for Tiantian Mao

Distributionally Robust Optimization under Distorted Expectations

Number of pages: 68 Posted: 16 Apr 2020

Jun Cai, Jonathan Yu-Meng 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 624 (109,339)

Citation 13

Abstract:

2.

Risk Aversion in Regulatory Capital Principles

SIAM Journal on Financial Mathematics, Forthcoming.

Number of pages: 37 Posted: 10 Sep 2015 Last Revised: 26 Dec 2019

Tiantian Mao and Ruodu Wang

University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Waterloo - Department of Statistics and Actuarial Science

Downloads 348 (214,362)

Citation 8

Abstract:

3.

Inf-convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures

Mathematics of Operations Research, forthcoming

Number of pages: 44 Posted: 05 Dec 2019 Last Revised: 18 Jan 2022

Fangda Liu, Tiantian Mao, Ruodu Wang and Linxiao Wei

University of Waterloo - Department of Statistics and Actuarial Science, University of Science and Technology of China (USTC) - Department of Statistics and Finance, University of Waterloo - Department of Statistics and Actuarial Science and Wuhan University of Technology

Downloads 335 (226,528)

Abstract:

4.

Bayes Risk, Elicitability, and the Expected Shortfall

Mathematical Finance, forthcoming

Number of pages: 32 Posted: 24 Nov 2020 Last Revised: 23 Feb 2022

Paul Embrechts, Tiantian Mao, Qiuqi Wang and Ruodu Wang

Swiss Federal Institute of Technology Zurich, University of Science and Technology of China (USTC) - Department of Statistics and Finance, Georgia State University - J. Mack Robinson College of Business and University of Waterloo - Department of Statistics and Actuarial Science

Downloads 257 (301,349)

Abstract:

5.

Distributionally Robust Reinsurance With Value-at-Risk and Conditional Value-at-Risk

Downloads 242 (319,183)

Citation 5

2

Distributionally Robust Reinsurance With Value-at-Risk and Conditional Value-at-Risk

Number of pages: 44 Posted: 23 May 2021

Haiyan Liu and Tiantian Mao

Michigan State University - Department of Mathematics and University of Science and Technology of China (USTC) - Department of Statistics and Finance

Downloads 169 (448,643)

Citation 1

Abstract:

Distributionally Robust Reinsurance with Value-at-Risk and Conditional Value-at-Risk

Number of pages: 43 Posted: 17 Feb 2022

Haiyan Liu and Tiantian Mao

Michigan State University - Department of Mathematics and University of Science and Technology of China (USTC) - Department of Statistics and Finance

Downloads 73 (871,518)

Citation 4

Abstract:

6.

Characterizing Fractional Degree Stochastic Dominance by Invariance Laws

Number of pages: 35 Posted: 07 Dec 2022

Tiantian Mao, Ruodu Wang and Lin Zhao

University of Science and Technology of China (USTC) - Department of Statistics and Finance, University of Waterloo - Department of Statistics and Actuarial Science and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS)

Downloads 221 (351,440)

Abstract:

7.

Generalized Optimized Certainty Equivalent with Applications in the Rank-dependent Utility Model

Number of pages: 36 Posted: 07 Nov 2020

Qinyu Wu, Tiantian Mao and Taizhong Hu

University of Science and Technology of China (USTC) - Department of Statistics and Finance, University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Science and Technology of China (USTC)

Downloads 209 (366,366)

Citation 1

Abstract:

8.

Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory

Journal of Mathematical Economics, Forthcoming

Number of pages: 38 Posted: 05 Sep 2020 Last Revised: 13 Sep 2022

Tiantian Mao and Ruodu Wang

University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Waterloo - Department of Statistics and Actuarial Science

Downloads 204 (373,348)

Citation 3

Abstract:

9.

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 189 (405,402)

Citation 1

Abstract:

10.

A Model-Free Continuum of Degrees of Risk Aversion

Number of pages: 44 Posted: 30 Jan 2017 Last Revised: 01 Apr 2020

Tiantian Mao and Ruodu Wang

University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Waterloo - Department of Statistics and Actuarial Science

Downloads 180 (422,345)

Abstract:

11.

Quantile-Based Risk Sharing with Heterogeneous Beliefs

Swiss Finance Institute Research Paper No. 17-65

Number of pages: 30 Posted: 06 Dec 2017 Last Revised: 17 Jul 2018

Paul Embrechts, Haiyan Liu, Tiantian Mao and Ruodu Wang

Swiss Federal Institute of Technology Zurich, Michigan State University - Department of Mathematics, University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Waterloo - Department of Statistics and Actuarial Science

Downloads 176 (431,126)

Citation 17

Abstract:

12.

Conditional Value-at-Risk Under Reward-Penalty Mechanism with Applications to Robust Portfolio Management

Number of pages: 33 Posted: 22 Apr 2025

Jun Cai, Tiantian Mao and Zhiqiao Song

University of Waterloo - Department of Statistics and Actuarial Science, University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Waterloo

Downloads 133 (580,653)

Abstract:

13.

A General Wasserstein Framework for Data-driven Distributionally Robust Optimization: Tractability and Applications

Number of pages: 58 Posted: 27 Jul 2022

Jonathan Yu-Meng Li and Tiantian Mao

Telfer School of Management, University of Ottawa and University of Science and Technology of China (USTC) - Department of Statistics and Finance

Downloads 125 (576,708)

Citation 3

Abstract:

14.

Diversification Limit of Quantiles Under Dependence Uncertainty

Extremes. Statistical Theory and Applications in Science, Engineering and Economics ISSN: 1386-1999 (Print) 1572-915X (Online). 2016

Number of pages: 26 Posted: 23 Apr 2015 Last Revised: 23 Feb 2016

Valeria Bignozzi, Tiantian Mao, Bin Wang and Ruodu Wang

Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Science and Technology of China (USTC) - Department of Statistics and Finance, Beijing Technology and Business University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science

Downloads 120 (600,462)

Abstract:

15.

Stochastic Comparisons of Largest-Order Statistics for Proportional Reversed Hazard Rate Model and Applications

Applied Probability Trust, Forthcoming

Number of pages: 29 Posted: 26 Nov 2020

Lu Li, Qinyu Wu and Tiantian Mao

affiliation not provided to SSRN, University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Science and Technology of China (USTC) - Department of Statistics and Finance

Downloads 85 (777,583)

Citation 1

Abstract:

16.

On Generalization and Regularization via Wasserstein Distributionally Robust Optimization

Number of pages: 45 Posted: 22 Dec 2022

Qinyu Wu, Jonathan Yu-Meng Li and Tiantian Mao

University of Science and Technology of China (USTC) - Department of Statistics and Finance, Telfer School of Management, University of Ottawa and University of Science and Technology of China (USTC) - Department of Statistics and Finance

Downloads 69 (899,324)

Abstract:

17.

Higher-Order Stochastic Dominance Under Independent Noise and Characterization of Mean-Variance-Skewness Preference

Number of pages: 26 Posted: 02 Feb 2026 Last Revised: 03 Feb 2026

Wenhan Qian and Tiantian Mao

University of Science and Technology of China (USTC) and University of Science and Technology of China (USTC) - Department of Statistics and Finance

Downloads 37 (1,263,436)

Abstract:

18.

Robust Evaluation of Quantiles and Expectiles under Moment-based Uncertainty with Applications to Regression

Number of pages: 34 Posted: 25 Feb 2026

Chenling Huang, Xinran Tao and Tiantian Mao

affiliation not provided to SSRN, affiliation not provided to SSRN and University of Science and Technology of China (USTC) - Department of Statistics and Finance

Downloads 26 (1,436,435)

Abstract:

19.

Reconciling Risk-Aversion Paradoxes in the Distribution-Free Newsvendor Problem: Scarf's Rule Meets Dual Utility

Number of pages: 23 Posted: 23 Jul 2025

Jonathan Yu-Meng Li, Tiantian Mao and Reza Valimoradi

Telfer School of Management, University of Ottawa, University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Ottawa - Telfer School of Management

Downloads 15 (1,500,778)

Abstract:

20.

Asymptotic probabilities in heterogeneous Gaussian samples

Number of pages: 7 Posted: 09 Jul 2026

Chunxu Zhang, Baiqi Miao and Tiantian Mao

affiliation not provided to SSRN, affiliation not provided to SSRN and University of Science and Technology of China (USTC) - Department of Statistics and Finance

Downloads 3

Tiantian Mao

University of Science and Technology of China (USTC) - Department of Statistics and Finance

20

Top 35,455

3,598

Top 17,572

52

Scholarly Papers (20)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract: