代表性论著 | Embrechts, P., Liu, H., Mao, T.*, and Wang, R. (2020). Quantile-based risk sharing with heterogeneous beliefs. Mathematical Programming, 181, 319-347. Mao, T. and Wang, R. (2020). Risk aversion in regulatory capital principle. SIAM Journal on Financial Mathematics, 11(1), 169-200. Mao, T., Wang, B. and Wang, R. (2019). Sums of Standard Uniform Random Variables. Journal of Applied Probability, 56(3), 918--936. Mao, T., Hu, J. and Liu, H. (2018). The average risk sharing problem under risk measure and expected utility theory. Insurance: Mathematics and Economics, 83, 170-179. Mao, T. and Cai, J. (2018). Risk measures based on the behavioural economics theory. Finance and Stochastics, 22(2), 367--393. Bignozzi, V., Mao, T.*, Wang, B. and Wang, R. (2016). Diversification limit of quantiles under dependence uncertainty. Extremes, 19(2), 142–170. Mao, T.* and Ng, K. (2015). Second-order properties of tail probabilities of sums and randomly weighted sums. Extremes, 18(3), 403–435.
|
