Tiantian Mao

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

96, Jinzhai Road

Hefei, Anhui 230026

China

SCHOLARLY PAPERS

12

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Top 28,868

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28

CROSSREF CITATIONS

3

Scholarly Papers (12)

1.

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 267 (146,751)
Citation 8

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

2.

Bayes Risk, Elicitability, and the Expected Shortfall

Mathematical Finance, forthcoming
Number of pages: 32 Posted: 24 Nov 2020 Last Revised: 19 Apr 2021
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 126 (284,099)

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

3.

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 108 (316,995)
Citation 17

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

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 107 (319,016)
Citation 1

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

5.

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 106 (321,061)

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

6.

Inf-convolution and Optimal Allocations for Tail Risk Measures

Number of pages: 44 Posted: 05 Dec 2019 Last Revised: 24 Feb 2021
University of Waterloo - Department of Statistics and Actuarial ScienceGeorgia State University, 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 103 (327,277)

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

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 86 (366,982)
Citation 1

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

8.

A Critical Comparison of Three Notions of Fractional Stochastic Dominance

Number of pages: 40 Posted: 05 Sep 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 79 (385,986)
Citation 1

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

9.

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 76 (394,577)

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

10.

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 57 (457,970)

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

11.

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 affiliation not provided to SSRN
Downloads 45 (506,952)
Citation 1

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

12.

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 14 (693,935)

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