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Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle has been an interesting topic. This paper discusses the optimal reinsuranceExpand
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Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities
TLDR
In quantitative risk management, we provide a new lower bound for any given marginal distributions and give a necessary and sufficient condition for the sharpness of this new bound. Expand
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Saddlepoint approximation method for pricing CDOs
TLDR
A critical issue in the credit risk industry is the accurate, efficient and robust pricing of collateralized debt obligations (CDO) in a variety of mathematical models. Expand
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Worst-Case Range Value-at-Risk with Partial Information
TLDR
We study the worst-case scenarios of a general class of risk measures, the Range Value-at-Risk (RVaR), in single and aggregate risk models with given mean and variance, as well as symmetry and/or unimodality of each risk. Expand
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Approximation of bivariate copulas by patched bivariate Fréchet copulas
Bivariate Frechet (BF) copulas characterize dependence as a mixture of three simple structures: comonotonicity, independence and countermonotonicity. They are easily interpretable but haveExpand
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Sign-changing solutions to discrete fourth-order Neumann boundary value problems
By using topological degree theory and fixed point index theory, we consider a discrete fourth-order Neumann boundary value problem. We provide sufficient conditions for the existence ofExpand
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Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and independence
Abstract Copulas are statistical tools for modelling the multivariate dependence structure among variables in a distribution free way. This paper investigates bivariate copula structure; theExpand
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[Dynamic simulation of nitrogen application level effects on rice yield and optimization analysis of fertilizer supply in paddy field].
Field and water tank plot experiments were conducted in Zhejiang Province in 1999 to determine the effects of nitrogen application amount and times on rice growth and yield, and rice growthExpand
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Decomposition of a Schur-constant model and its applications
In this paper, the dependence structure of a Schur-constant model is investigated. A necessary and sufficient condition for a random vector to be Schur-constant is given, and some properties of theExpand
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Dynamic Equivalents of Power System Based on Extended Two Particle Swarm Optimization
TLDR
A novel methodology based on phaser measurement units (PMUs) for power system dynamic equivalents is presented. Expand
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