Follow
Prof. dr. Jing Yao
Prof. dr. Jing Yao
Verified email at suda.edu.cn
Title
Cited by
Cited by
Year
How robust is the value-at-risk of credit risk portfolios?
C Bernard, L Rüschendorf, S Vanduffel, J Yao
The European Journal of Finance 23 (6), 507-534, 2017
602017
Optimal portfolios with downside risk
F Klebaner, Z Landsman, U Makov, J Yao
Quantitative Finance 17 (3), 315-325, 2017
422017
A note on Stein's lemma for multivariate elliptical distributions
Z Landsman, S Vanduffel, J Yao
Journal of Statistical Planning and Inference 143 (11), 2016-2022, 2013
212013
Some Stein-type inequalities for multivariate elliptical distributions and applications
Z Landsman, S Vanduffel, J Yao
Statistics & Probability Letters 97, 54-62, 2015
202015
Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models
T Shushi, J Yao
Insurance: Mathematics and Economics 93, 178-186, 2020
192020
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
M Zhou, J Dhaene, J Yao
Insurance: Mathematics and Economics 79, 92-100, 2018
182018
Double trigger agricultural insurance products with weather index and yield index
Y Xiao, J Yao
China Agricultural Economic Review 11 (2), 299-316, 2019
172019
A Stein Type Lemma for the Multivariate Generalized Hyperbolic Distribution
S Vanduffel, J Yao
European Journal of Operational Research, 2016
162016
Closed‐form approximations for spread options in Lévy markets
J Van Belle, S Vanduffel, J Yao
Applied Stochastic Models in Business and Industry 35 (3), 732-746, 2019
152019
The threshold effect of climate risk and the non-linear role of climate policy uncertainty on insurance demand: Evidence from OECD countries
B Liu, W Yin, G Chen, J Yao
Finance Research Letters 55, 103820, 2023
142023
On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality
X Deng, J Yao
Communications in Statistics-Theory and Methods 47 (21), 5346-5356, 2018
142018
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
G Deelstra, G Rayée, S Vanduffel, J Yao
ASTIN Bulletin: The Journal of the IAA 44 (2), 237-276, 2014
72014
Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
Z Li, J Luo, J Yao
Journal of Computational and Applied Mathematics 391, 113459, 2021
62021
Correlation matrices with average constraints
J Tuitman, S Vanduffel, J Yao
Statistics & Probability Letters 165, 108868, 2020
52020
Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
B Zuo, C Yin, J Yao
Communications in Statistics-Theory and Methods, 1-33, 2024
32024
A note on joint mix random vectors
Y Xiao, J Yao
Communications in Statistics-Theory and Methods 49 (12), 3063-3072, 2020
32020
Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
Y Yang, G Wang, J Yao
Insurance: Mathematics and Economics 114, 79-107, 2024
22024
Downside risk optimization with random targets and portfolio amplitude
Z Landsman, U Makov, J Yao, M Zhou
The European Journal of Finance 28 (16), 1642-1663, 2022
22022
On the pricing of vulnerable Parisian options
Z Liu, D Li, L Qian, J Yao
Finance Research Letters 68, 105995, 2024
12024
Tail variance and confidence of using tail conditional expectation: analytical representation, capital adequacy, and asymptotics
J Duan, Z Landsman, J Yao
Advances in Applied Probability, 1-25, 2024
12024
The system can't perform the operation now. Try again later.
Articles 1–20