Tiantian Mao

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

96, Jinzhai Road

Hefei, Anhui 230026

China

SCHOLARLY PAPERS

15

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65

CROSSREF CITATIONS

2

Scholarly Papers (15)

1.

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 326 (171,382)
Citation 5

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

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 299 (187,779)
Citation 8

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regulatory capital, risk aversion, risk sharing, stochastic dominance, diversification

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 229 (245,062)

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Risk sharing, Pareto optimality, Value-at-Risk, Range-Value-at-Risk, Non-convex optimization

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, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 172 (318,031)

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Bayes risk, quantiles, Expected Shortfall, elicitability, entropic risk measures

5.

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 168 (324,544)
Citation 3

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stochastic dominance, risk aversion, risk measures, rank-dependent utility, cumulative prospect theory

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 119 (428,989)

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Value-at-Risk, Conditional Value-at-Risk, distributional robust reinsurance, uncertainty, stop-loss

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 44 (771,953)
Citation 3

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Value-at-Risk, Conditional Value-at-Risk, distributional robust reinsurance, uncertainty, stop-loss

7.

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 155 (347,546)

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risk aversion, risk seeking, stochastic dominance, expected utility, rank-dependent utility, cumulative prospect theory

8.

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 154 (349,348)
Citation 1

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

9.

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 138 (381,392)
Citation 17

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Risk Sharing, Competitive Equilibrium, Belief Heterogeneity, Quantiles, Non-Convexity, Risk Measures

10.

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 Chinese Academy of Sciences (CAS) - University of Science and Technology of China
Downloads 112 (446,960)
Citation 1

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Variational Preference; Optimized Certainty Equivalent; Convex Risk Measure; Coherent Risk Measure; Duality; Rank-Dependent Utility

11.

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 102 (478,297)

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Value-at-Risk, diversification ratio, extreme value analysis, asymptotics, dependence uncertainty

12.

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 92 (511,752)

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stochastic dominance, fractional degree, invariance laws, comparative statics, option pricing

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 77 (569,725)
Citation 2

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Wasserstein distributionally robust optimization, Optimal transport, Coherent risk measures

14.

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 34 (819,769)

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distributionally robust optimization, Wasserstein metrics, finite-sample guarantees, regularization

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 33 (827,755)
Citation 1

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Reversed hazard rate order; likelihood ratio order; usual stochastic order; exponentiated generalized gamma distribution; exponentiated Pareto distribution; optimal reinsurance