毛甜甜

2026

Higher-order stochastic dominance under independent noise and characterization of mean-variance-skewness preference

Mathematics and Financial Economics

DOI

2026

Characterizing Fractional-Degree Stochastic Dominance by Invariance Laws

Decision Analysis

DOI

2025

Worst-case values of target semi-variances with applications to robust portfolio selection

European Journal Of Operational Research，Vol. 327, No. 3

DOI

2025

On Generalization and Regularization via Wasserstein Distributionally Robust Optimization

Management Science

DOI

2025

Distributionally Robust Optimization Under Distorted Expectations

Operations Research，Vol. 73, No. 20

DOI

2025

Model Aggregation for Risk Evaluation and Robust Optimization

Management Science

DOI

2025

Disappointment Aversion and Expectiles

2025

Sinkhorn Distributionally Robust Conditional Quantile Prediction with Fixed Design

Entropy

DOI

2024

Generalized Optimized Certainty Equivalent with Applications in the Rank-Dependent Utility Model

Siam Journal On Financial Mathematics，Vol. 15, No. 1

DOI

2024

An extreme worst-case risk measure by expectile

Advances in Applied Probability

DOI

2023

Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks

Insurance Mathematics & Economics，Vol. 111

DOI

2023

Distributionally robust reinsurance with expectile

Astin Bulletin-The Journal Of The International Actuarial Association，Vol. 530, No. 10

DOI

2023

Shortfall-Based Wasserstein Distributionally Robust Optimization

Mathematics

DOI

2023

Estimation of the adjusted standard‐deviatile for extreme risks

Scandinavian Journal of Statistics

DOI

2022

Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory

Journal Of Mathematical Economics，Vol. 1030

DOI

2022

Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk

Insurance Mathematics & Economics，Vol. 107

DOI

2022

矩信息下条件在险价值和期望短缺的最坏可能值（英文）

Journal of University of Science and Technology of China

2022

Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures

Mathematics of Operations Research

DOI

2022

Further properties of fractional stochastic dominance

Journal of Applied Probability

DOI

2021

Bayes risk, elicitability, and the Expected Shortfall

Mathematical Finance，Vol. 310, No. 40

DOI

2021

基于RDEU模型的风险度量（英文）

Journal of University of Science and Technology of China

2021

A multivariate CVaR risk measure from the perspective of portfolio risk management

Scandinavian Actuarial Journal

DOI

2021

Estimation of the Haezendonck-Goovaerts risk measure for extreme risks

Scandinavian Actuarial Journal

DOI

2020

Quantile-based risk sharing with heterogeneous beliefs

Mathematical Programming，Vol. 1810, No. 2

DOI

2020

Risk Aversion in Regulatory Capital Principles

Siam Journal On Financial Mathematics，Vol. 11, No. 1

DOI

2020

Stochastic comparisons of largest-order statistics for proportional reversed hazard rate model and applications

Journal of Applied Probability

DOI

2020

RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS

Astin Bulletin

DOI

2020

PRESERVATION OF LOG-CONCAVITY AND LOG-CONVEXITY UNDER OPERATORS

Probability in the Engineering and Informational Sciences

DOI

2018

The average risk sharing problem under risk measure and expected utility theory

Insurance Mathematics & Economics，Vol. 83

DOI

2018

Characterizations of risk aversion in cumulative prospect theory

Mathematics and Financial Economics

DOI

2018

Risk measures based on behavioural economics theory

Finance and Stochastics

DOI

2017

Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures

Insurance Mathematics & Economics，Vol. 75

DOI

2017

PRESERVATION OF LOG-CONCAVITY UNDER CONVOLUTION

Probability in the Engineering and Informational Sciences

DOI

2016

Diversification limit of quantiles under dependence uncertainty

Extremes

DOI

2016

Closure properties of the second-order regular variation under convolutions

Communication in Statistics- Theory and Methods

DOI

2015

Risk concentration based on Expectiles for extreme risks under FGM copula

Insurance Mathematics & Economics，Vol. 64

DOI

2015

Second-order regular variation inherited from Laplace–Stieltjes transforms

Communication in Statistics- Theory and Methods

DOI

2015

Second-order properties of tail probabilities of sums and randomly weighted sums

Extremes

DOI

2015

ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS

Probability in the Engineering and Informational Sciences

DOI

2014

On aggregation sets and lower-convex sets

Journal of Multivariate Analysis

DOI

2014

Relations between the spectral measures and dependence of MEV distributions

Extremes

DOI

2013

Optimal capital allocation based on the Tail Mean-Variance model

Insurance Mathematics & Economics，Vol. 53, No. 3

DOI

2013

THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS

Probability in the Engineering and Informational Sciences

DOI

2013

ASYMPTOTIC BEHAVIOR OF EXTREMAL EVENTS FOR AGGREGATE DEPENDENT RANDOM VARIABLES

Probability in the Engineering and Informational Sciences

DOI

2013

Second-order properties of risk concentrations without the condition of asymptotic smoothness

Extremes

DOI

2012

Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks

Insurance Mathematics & Economics，Vol. 51, No. 2

DOI

2012

Second-order expansions of the risk concentration based on CTE

Insurance Mathematics & Economics，Vol. 51, No. 2

DOI

2012

Characterization of left-monotone risk aversion in the RDEU model

Insurance Mathematics & Economics，Vol. 50, No. 3

DOI

2012

Extreme value behavior of aggregate dependent risks

Insurance Mathematics & Economics，Vol. 50, No. 1

DOI

2012

风险度量和浓度的二阶逼近以及风险厌恶的刻画

《中国科学技术大学》

2012

ON ORDERINGS BETWEEN WEIGHTED SUMS OF RANDOM VARIABLES

Probability in the Engineering and Informational Sciences

DOI

2012

PROPERTIES OF SECOND-ORDER REGULAR VARIATION AND EXPANSIONS FOR RISK CONCENTRATION

Probability in the Engineering and Informational Sciences

DOI

2011

A new proof of Cheung's characterization of comonotonicity

Insurance Mathematics & Economics，Vol. 48, No. 2

DOI

2010

ORDERING CONVOLUTIONS OF HETEROGENEOUS EXPONENTIAL AND GEOMETRIC DISTRIBUTIONS REVISITED

Probability in the Engineering and Informational Sciences

DOI

2010

EQUIVALENT CHARACTERIZATIONS ON ORDERINGS OF ORDER STATISTICS AND SAMPLE RANGES

Probability in the Engineering and Informational Sciences

DOI

2009

Stochastic properties of INID progressive Type-II censored order statistics

Journal of Multivariate Analysis

DOI

2026

Distributionally Robust Reinsurance under Robust Optimized Certainty Equivalent Risk Measure

arXiv (Cornell University)

DOI

2026

Wasserstein Distributionally Robust Quantile Regression

arXiv (Cornell University)

DOI

2026

Robust Evaluation of Quantiles and Expectiles under Moment-based Uncertainty with Applications to Regression

SSRN Electronic Journal

DOI

2026

Distributionally Robust Estimation of Tail Index Based on Wasserstein Metric

SSRN Electronic Journal

DOI

2025

Reconciling Risk-Aversion Paradoxes in the Distribution-Free Newsvendor Problem: Scarf's Rule Meets Dual Utility

SSRN Electronic Journal

DOI

2025

Validity and Power of Heavy-Tailed Combination Tests under Asymptotic Dependence

arXiv (Cornell University)

DOI

2025

Conditional Value-at-Risk Under Reward-Penalty Mechanism with Applications to Robust Portfolio Management

SSRN Electronic Journal

DOI

2024

Disappointment concordance and duet expectiles

RePEc: Research Papers in Economics

DOI

2024

Quantiles under ambiguity and risk sharing

RePEc: Research Papers in Economics

DOI

2022

A General Wasserstein Framework for Data-driven Distributionally Robust Optimization: Tractability and Applications

SSRN Electronic Journal

DOI

2020

A Critical Comparison of Three Notions of Fractional Stochastic Dominance

SSRN Electronic Journal

DOI

2017

A Model-Free Continuum of Degrees of Risk Aversion

SSRN Electronic Journal

DOI

2013

Second-Order Conditions of Regular Variation and Drees-Type Inequalities

Lecture notes in statistics

DOI