Referred papers:
- Cai J, Li J, Mao T. (2023) Distributionally robust optimization under distorted expectations. Operations Research, accepted and forthcoming.
- Cai J, Jia H, Mao T. (2022) A multivariate CVaR risk measure from the perspective of portfolio risk management. Scandinavian Actuarial Journal 2022(3), 189-215.
- Bi J, Cai J, Zeng Y. (2021) Equilibrium reinsurance-investment strategies with partial information and common shock dependence. Annals of Operations Research 307, 1-24.
- Cai J, Wang Y. (2021) Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. Insurance: Mathematics and Economics 100, 329-349.
- Cai J, Mao T. (2020) Risk measures derived from a regulator's perspective on the regulatory capital
requirements for insurers. ASTIN Bulletin 50(3), 1065-1092.
- Cai J, Chi Y. (2020) Optimal reinsurance designs based on risk measures: a review.
Statistical Theory and Related Fields 4, 1-13.
- Cai J, Chi Y. (2020) Responses to discussions on `Optimal reinsurance designs based on
risk measures: a review'.
Statistical Theory and Related Fields 4, 26-27.
- Liu F, Cai J, Lemieux C, Wang R. (2020) Convex risk functionals: representation and
applications. Insurance: Mathematics and Economics 90, 66-79.
- Bi J, Cai J. (2019) Optimal investment-reinsurance strategies with state dependent
risk aversion and VaR constraints in correlated markets. Insurance: Mathematics and Economics
85, 1-14.
- Cai J, Wang Y. (2019) Reinsurance premium principles based on weighted loss functions.
Scandinavian Actuarial Journal 2019(10), 903-923.
- Cai J, Liu H, Wang R. (2018)
Asymptotic equivalence of risk measures under dependence uncertainty. Mathematical Finance 28,
29-49.
- Mao T, Cai J. (2018) Risk measures based on the behavioural economics
theory. Finance and Stochastics 22, 367-393.
- Cai J, Wang Y, Mao T. (2017) Tail subadditivity of distortion risk measures and multivariate tail
distortion risk measures. Insurance: Mathematics and Economics 75, 105-116.
- Cai J, Liu H, Wang R. (2017) Pareto-optimal reinsurance arrangements under general model
settings. Insurance: Mathematics and Economics 77, 24-37.
- Cai J, Landriault D, Shi T, Wei W. (2017) Joint insolvency analysis of a shared MAP
risk process: a capital allocation application. North American Actuarial Journal 21(2), 178-192.
- Cai J, Weng C. (2016) Optimal reinsurance with expectile. Scandinavian Actuarial Journal
(2016)(7),
624-645.
- Cai J, Lemieux C, Liu F. (2016) Optimal reinsurance from the perspectives of both an insurer and a
reinsurer. ASTIN Bulletin 46(3), 815-849.
- Cai J, Wei W. (2015) Notions of multivariate dependence and their applications in optimal portfolio
selections with dependent risks. Journal of Multivariate Analysis 138, 156-169.
- Cai J, Lemieux C, Liu F. (2014) Optimal reinsurance with regulatory initial
capital and default risk. Insurance: Mathematics and Economics 57, 13-24.
- Zhou M, Cai J. (2014) Optimal dynamic risk control for insurers with state dependent
income. Journal of Applied Probability 51, 417-435.
- Cai J, Wei W. (2014) Some new notions of dependence with applications in
optimal allocation problems. Insurance: Mathematics and Economics 55,
200-209.
- Cai J, Yang H.L. (2014) On the decomposition of the absolute ruin probability in a
perturbed compound Poisson surplus process with debit interest. Annals of Operations Research
212(1), 61-77.
- Cai J, Fang Y, Li Z, Willmot G.E. (2013) Optimal reciprocal reinsurance treaties under
the joint survival probability and the joint profitable probability. Journal of Risk and Insurance
80(1), 145-168.
- Bai L, Cai J, Zhou M. (2013) Optimal reinsurance policies for an insurer
with a bivariate reserve risk process in a dynamic setting. Insurance: Mathematics and Economics
53, 664-670.
- Guo W, Cai J. (2013) Portfolio optimization with uncertain exit time in
infinite-time horizon. Acta Mathematicae Applicatae Sinica (English Series) 29(4), 673-684.
- Cai J, Ge C.L. (2012) Multi-objective private wealth allocation without subportfolios.
Economic Modelling 29(3), 900-907.
- Cai J, Wei, W. (2012) Optimal reinsurance with positively
dependent risks. Insurance: Mathematics and Economics 50(1), 57-63.
- Cai J, Wei, W. (2012) On the invariant properties of notions of positive dependence and copulas under increasing
transformations. Insurance: Mathematics and Economics 50(1), 43-49.
- Guo W, Cai J, Li, X.D. (2010) Optimal investment for an insurer: multiperiod mean-variance
framework. Journal of Applied Statistics and Management 29(2), 315-327.
- Cai J, Feng R, Willmot G.E. (2009) On the total discounted operating costs up to default and
its applications. Advances in Applied Probability 41(2), 495-522.
- Cai, J., Feng, R.H. and Willmot, G.E. (2009) Analysis of the compound Poisson surplus model with liquid
reserves, interest and dividends. ASTIN Bulletin 39(1), 225-247.
- Cai J, Feng R, Willmot G.E. (2009) The compound poisson surplus model with interest and
liquid
reserves: analysis of the Gerber-Shiu discounted penalty function. Methodology and Computing
in Applied Probability 11(3), 401-423.
- Zhou M, Cai J. (2009) A perturbed risk
model with dependence between premium rates and claim sizes. Insurance:
Mathematics and Economics 45(3), 382-392.
- Cai J, Tan K, Weng C, Zhang Y. (2008)
Optimal reinsurance under VaR and CTE risk measures. Insurance: Mathematics and
Economics 43, 185-196.
- Cai J. (2007) On the time value of absolute ruin with debit interest.
Advances in Applied Probability 39(2), 343-359.
- Cai J, Tan K.S. (2007) Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. ASTIN
Bulletin 37(1), 93-112.
- Cai J, Li H. (2007) Dependence properties and bounds for ruin probabilities in multivariate compound risk models. Journal of Multivariate
Analysis 98(4), 757-773.
- Cai J, Gerber H, Yang H.L. (2006) Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest. North American
Actuarial Journal 10(2), 94-119.
- Cai J, Xu C.M. (2006) On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian
motion. North American Actuarial Journal 10(2), 120-132.
- Pavlova P, Cai J, Willmot G. (2006) The preservation of classes of discrete distributions under
convolution and mixing. Insurance: Mathematics and Economics 38, 391-405.
- Cai J, Yang H.L. (2005) Ruin in the perturbed compound Poisson risk process under interest
force. Advances in Applied Probability 37, 819-835.
- Cai J, Li H. (2005) Conditional tail expectations for multivariate phase type distributio ns. Journal of
Applied Probability 42, 810-825.
- Cai J, Li H. (2005) Multivariate risk model of phase-type. Insurance:
Mathematics and Economics 36, 137-152.
-
Cai J, Willmot G. (2005) Monotonicity and aging properties of random
sums. Statistics and Probability Letters 73, 381-392.
- Willmot G, Drekic S, Cai J.
(2005) Equilibrium compound distributions and stop-loss
moments. Scandinavian Actuarial Journal 1, 6-24.
- Cai J. (2004) Ruin probabilities and penalty functions with
stochastic rates of interest. Stochastic Processes and their Applications
112, 53-78.
- Cai J, Dickson D.C.M. (2004) Ruin probabilities with a Markov chain interest
model. Insurance: Mathematics and Economics 35, 513-525.
- Cai J, Tang Q.H. (2004) On max-sum-equivalence and convolution closure of h eavy-tailed distributions and
their applications. Journal of Applied Probability 41, 117-130.
- Willmot G, Cai J. (2004) On applications of residual lifetime tails of compound geometric
convolutions. Journal of Applied Probability 41, 802-815.
- Cai J, Dickson D.C.M. (2003) Upper bounds for ultimate ruin probabilities in the Sparre Andersen model
with interest. Insurance: Mathematics and Economics 32, 61-71.
- Cai J. (2002) Ruin probabilities under dependent rates of interest. Journal of Applied Probability
39, 312-323.
- Cai J. (2002) Discrete time risk models under rates of interest.
Probability in the Engineering and Informational Sciences 16, 309-324.
- Cai J, Dickson D.C.M. (2002) On the expected discounted penalty function at ruin of a surplus process with interest. Insurance: Mathematics and Eco nomics 30, 389-404.
- Cai J, Garrido J. (2002) Asymptotic forms and bounds for tails
of convolutions of compound geometric distributions, with applications.
Recent Advances in Statistical Methods
(Y.P. Chaubey, ed.), Imperial College Press, London, 114-131.
- Willmot G, Cai J. (2001) Aging and other distributional properties of discrete compound geometric distributions.
Insurance: Mathematics and Economics 28, 361-379.
- Willmot G, Cai J, Lin X.S. (2001) Lundberg inequalities for renewal equations. Advances in Applied Probability
33, 674-689.
- Cai J, Garrido J. (2000) Two-sided bounds for tails of compound negative binomial distributions in the exponential and heavy-tailed cases. Scandinavian
Actuarial Journal 2, 102-120.
- Cai J, Kalashnikov V. (2000) NWU property of a class of random sums.
Journal o f Applied Probability 37, 283-289.
- Willmot G, Cai J. (2000) On classes of lifetime distributions with unknown age. Probability in the Engineering and Informational Sciences 14, 473-484.
- Cai J, Garrido J. (1999) A unified approach to the study of tail probabilities of compound distributions. Journal of Applied Probability 36, 1058-1073.
- Cai J,
Garrido J. (1999) Two-sided bounds for ruin probabilities when the adjustment coefficient
does not exist. Scandinavian Actuarial Journal 1, 80-92.
- Cai J, Garrido J. (1998) Aging properties and bounds for ruin probabilities and stop-loss premiums. Insurance: Mathematics and Economics 23, 33-44.
- Cai J, Wu Y. (1997)
Characterizations of life distributions under some generalized stochastic orderings.
Journal of Applied Probability 34, 711-719.
- Cai J, Wu Y. (1997) Some
improvements on the Lundberg bound for the ruin probability.
Statistics and Probability Letters 33, 395-403.
- Cai J, Wu Y. (1997) A note on the preservation of the
NBUC class under formation of parallel systems. Microelectronics and Reliability 37,
459-360.
- Cai J, Wu Y. (1996) Structures of systems with exponential life
distributions. Applied Mathematics: A Journal of Chinese Universities (Ser.B) 11, 51-58.
- Cai J. (1995) Reliability lower bounds for HNBUE distributions class with known
mean and variance. Mathematica Applicata 8, 440-445.
- Cai J. (1994) Characterizations of life distributions by moments of extremes and sample mean. Journal of Applied
Probability 31, 148-155.
- Cai J. (1994) Structures of systems with exponential life and HNBUE compone nts. IEEE Transactions on Reliability 43, 97-100.
- Cai J. (1994) Reliability of a large consecutive-k-out-of-r-from-n: F system with unequal component reliability. IEEE Transactions on Reliability 43,
107-111.
- Cai J. (1994) Improved bounds for coherent system reliability.
Acta Mathematicae Applicatae Sinica 17, 255-264.