Tiantian Mao

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

96, Jinzhai Road

Hefei, Anhui 230026

China

SCHOLARLY PAPERS

7

DOWNLOADS

609

SSRN CITATIONS
Rank 37,509

SSRN RANKINGS

Top 37,509

in Total Papers Citations

16

CROSSREF CITATIONS

2

Scholarly Papers (7)

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 245 (136,809)
Citation 3

Abstract:

Loading...

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

2.

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 100 (288,690)
Citation 15

Abstract:

Loading...

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

3.

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 96 (296,446)

Abstract:

Loading...

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

4.

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 74 (347,233)

Abstract:

Loading...

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

5.

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

Abstract:

Loading...

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

6.

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)

Abstract:

Loading...

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

7.

A Critical Comparison of Three Notions of Fractional Stochastic Dominance

Number of pages: 40
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 10

Abstract:

Loading...

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