Qihe Tang

University of Amsterdam - Amsterdam School of Economics (ASE)

Roetersstraat 11

Amsterdam, North Holland 1018 WB

Netherlands

SCHOLARLY PAPERS

6

DOWNLOADS

433

SSRN CITATIONS
Rank 12,932

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Top 12,932

in Total Papers Citations

3

CROSSREF CITATIONS

67

Scholarly Papers (6)

1.

Risk Measures and Comonotonicity: A Review

Stochastic Models, Vol. 22, pp. 573-606, 2006
Number of pages: 34 Posted: 11 Mar 2009 Last Revised: 17 Mar 2009
Katholieke Universiteit Leuven, Vrije Universiteit Brussel (VUB), University of Amsterdam - Amsterdam School of Economics (ASE), affiliation not provided to SSRN, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and Ghent University-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 279 (110,905)
Citation 3

Abstract:

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risk measures, coherency, CTE

2.

Remarks on Quantiles and Distortion Risk Measures

European Actuarial Journal, 2(2), 319-328
Number of pages: 12 Posted: 20 Oct 2012 Last Revised: 07 Dec 2012
Katholieke Universiteit Leuven, Catholic University of Leuven (KUL), University of Illinois and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 55 (378,507)

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comonotonicity, distorted expectation, distortion risk measure, TVaR, quantile

3.

On Partial Hedging and Counter-Monotonic Sums

Number of pages: 14 Posted: 01 Dec 2011
Ka Chun Cheung, Jan Dhaene and Qihe Tang
The University of Hong Kong, Katholieke Universiteit Leuven and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 53 (384,953)
Citation 2

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hedging, comonotonicity, counter-monotonicity, convex order, Tail Value-at-Risk

4.

Some New Classes of Consistent Risk Measures

Insurance: Mathematics and Economics, Vol. 34, No. 3, pp. 505-516, 2004
Number of pages: 15 Posted: 16 May 2010
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), Katholieke Universiteit Leuven and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 46 (408,929)

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Consistent risk measures, Haezendonck risk measure, Monotone convergence theorem, Yaari's dual theory of choice under risks

5.

The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Scandinavian Actuarial Journal, Vol. 6, pp. 446-461, 2005
Posted: 18 Dec 2005
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), University of Amsterdam - Department of Quantitative Economics (KE), University of Amsterdam - Amsterdam School of Economics (ASE) and Ovidius University of Constanta

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Asymptotics, (Log) elliptical distribution, (Log) normal variance-mean mixed distribution, Pareto-like distribution, Tail probability

A Comonotonic Image of Independence for Additive Risk Measures

Insurance: Mathematics and Economics, Vol. 35, No. 3, pp. 581-594, 2005
Posted: 27 Jan 2005
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Amsterdam School of Economics (ASE)

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Risk measures, additivity, exponential order, laplace transform order, esscher transform, comonotonicity

A Comonotonic Image of Independence for Additive Risk Measures

Tinbergen Institute Discussion Paper No. 2004-030/4
Posted: 22 Mar 2004
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Amsterdam School of Economics (ASE)

Abstract:

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Risk measures, additivity, exponential order, laplace transform order, esscher transform, comonotonicity