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Chengguo Weng
Tytuł
Cytowane przez
Cytowane przez
Rok
Optimal reinsurance under VaR and CTE risk measures
J Cai, KS Tan, C Weng, Y Zhang
Insurance: mathematics and Economics 43 (1), 185-196, 2008
3362008
Approximation of the tail probability of randomly weighted sums and applications
Y Zhang, X Shen, C Weng
Stochastic processes and their applications 119 (2), 655-675, 2009
1232009
Marginal indemnification function formulation for optimal reinsurance
SC Zhuang, C Weng, KS Tan, H Assa
Insurance: Mathematics and Economics 67, 65-76, 2016
1192016
Optimality of general reinsurance contracts under CTE risk measure
KS Tan, C Weng, Y Zhang
Insurance: Mathematics and Economics 49 (2), 175-187, 2011
922011
VaR and CTE criteria for optimal quota-share and stop-loss reinsurance
KS Tan, C Weng, Y Zhang
North American Actuarial Journal 13 (4), 459-482, 2009
802009
Optimal reinsurance with expectile
J Cai, C Weng
Scandinavian Actuarial Journal 2016 (7), 624-645, 2016
622016
Optimal reinsurance subject to Vajda condition
Y Chi, C Weng
Insurance: Mathematics and Economics 53 (1), 179-189, 2013
472013
Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
H Zhao, CG Weng, Y Shen, Y Zeng
Science China Mathematics 60, 317-344, 2017
452017
Empirical approach for optimal reinsurance design
KS Tan, C Weng
North American Actuarial Journal 18 (2), 315-342, 2014
362014
Enhancing insurer value using reinsurance and value-at-risk criterion
KS Tan, C Weng
The Geneva Risk and Insurance Review 37, 109-140, 2012
352012
Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
C Weng, Y Zhang, KS Tan
Scandinavian Actuarial Journal 2009 (3), 205-218, 2009
352009
Optimal investment strategies for participating contracts
H Lin, D Saunders, C Weng
Insurance: Mathematics and Economics 73, 137-155, 2017
342017
Optimal reinsurance analysis from a crop insurer's perspective
L Porth, K Seng Tan, C Weng
Agricultural Finance Review 73 (2), 310-328, 2013
332013
Regression tree credibility model
L Diao, C Weng
North American Actuarial Journal 23 (2), 169-196, 2019
272019
Multivariate reinsurance designs for minimizing an insurer’s capital requirement
Y Zhu, Y Chi, C Weng
Insurance: Mathematics and Economics 59, 144-155, 2014
272014
Constant proportion portfolio insurance under a regime switching exponential Lévy process
C Weng
Insurance: Mathematics and Economics 52 (3), 508-521, 2013
262013
Index insurance design
J Zhang, KS Tan, C Weng
ASTIN Bulletin: The Journal of the IAA 49 (2), 491-523, 2019
252019
Multivariate risk models under heavy‐tailed risks
W Huang, C Weng, Y Zhang
Applied Stochastic Models in Business and Industry 30 (3), 341-360, 2014
242014
Characterization of multivariate heavy-tailed distribution families via copula
C Weng, Y Zhang
Journal of Multivariate Analysis 106, 178-186, 2012
242012
Conditional value-at-risk-based optimal partial hedging
J Cong, KS Tan, C Weng
Journal of Risk 16 (3), 49-83, 2014
202014
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