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In this paper, we reexamine the two optimal reinsurance problems studied in Cai et al. (2008), in which the objectives are to find the optimal reinsurance contracts that minimize the value-at-risk (VaR) and the conditional tail expectation (CTE) of the total risk exposure under the expectation premium principle. We provide a simpler and more transparent… (More)

- Ka Chun Cheung
- 2008

It is well-known that if a random vector with given marginal distributions is comono-tonic, it has the largest sum with respect to the convex order. In this paper, we prove that the converse is also true, provided that each marginal distribution is continuous.

In this paper, we study the optimal asset allocation problem under a discrete regime switching model. Under the short-selling and leveraging constraints, the existence and uniqueness of the optimal trading strategy are obtained. We also obtain some natural properties of the optimal strategy. In particular, we show that if there exists a stochastic dominance… (More)

- C H van der Wouden, A Cambon-Thomsen, +22 authors H-J Guchelaar
- Clinical pharmacology and therapeutics
- 2017

Despite scientific and clinical advances in the field of pharmacogenomics (PGx), application into routine care remains limited. Opportunely, several implementation studies and programs have been initiated over recent years. This article presents an overview of these studies and identifies current research gaps. Importantly, one such gap is the undetermined… (More)

- Ka Chun Cheung, Jan Dhaene, Yian Rong, Phillip Sheung, Chi Yam
- 2013

We revisit the problem of minimizing a separable convex function with a linear constraint and box constraints. This optimization problem arises naturally in many applications in economics, finance and insurance. Existing literature exclusively tackles this problem by using the traditional Kuhn-Tucker theory, which leads to either iterative schemes or yields… (More)

- Ka Chun Cheung
- 2008

In this paper, we study the problems of optimal allocation of policy limits and de-ductibles. Several objective functions are considered: maximizing the expected utility of wealth assuming the losses are independent, minimizing the expected total retained loss, and maximizing the expected utility of wealth when the dependence structure is unknown. Orderings… (More)

In this article, we show that some important implications concerning comonotonic couples and corresponding convex order relations for their sums cannot be translated to counter-monotonicity in general. In a financial context, it amounts to saying that merging counter-monotonic positions does not necessarily reduce the overall level of risk. We propose a… (More)

- Ka Chun Cheung
- 2006

This research studies a single-period expected utility-based optimal portfolio problem. Assets are divided into different groups. It is assumed that the actual dependency structure of the asset returns within each group is unknown, but assets belonging to different groups have independent returns. Instead of assuming any particular dependency structure… (More)

- Ka Chun Cheung, Ambrose Lo
- 2015

This article investigates optimal reinsurance treaties minimizing an insurer’s riskadjusted liability, which encompasses a risk margin quantified by distortion risk measures. Via the introduction of a transparent cost-benefit argument, we extend the results in Cui et al. [Cui, W., Yang, J., Wu, L., 2013. Optimal reinsurance minimizing the distortion risk… (More)

This paper analyzes the investment-consumption problem of a risk averse investor in discrete-time model. We assume that the return of a risky asset depends on the economic environments and that the economic environments are ranked and described using a Markov chain with an absorbing state which represents the bankruptcy state. We formulate the investor's… (More)