Jun Cai

Management Science and Operations Research · Journal of Applied Probability · 2000–2020

A researcher in the Science corpus: 19 papers; trusts 33 researchers and is trusted by 26 researchers here, as inferred from the citation graph.

Subfields

• Management Science and Operations Research — 82 citations into it; #873 of 11,946 by trust here, #913 by citations
• Demography — 73 citations into it; #1,194 of 4,236 by trust here, #1,303 by citations
• Economics and Econometrics — 66 citations into it; #4,145 of 23,481 by trust here, #6,263 by citations
• Finance — 38 citations into it; #3,195 of 10,518 by trust here, #3,517 by citations
• Statistics and Probability — 9 citations into it; #3,161 of 12,932 by trust here, #3,330 by citations

Whom Jun Cai trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Yichun Chi
2. Ken Seng Tan
3. Ka Chun Cheung
4. Marek Kaluszka
5. Carole Bernard
6. Hailiang Yang
7. Wai-Sum Chan
8. Alejandro Balbás
9. Hansjörg Albrecher *
10. Chengguo Weng

Who trusts Jun Cai overall

1. Ken Seng Tan
2. Yichun Chi
3. Qihe Tang
4. Chengguo Weng
5. Gordon E. Willmot
6. Fadoua Balabdaoui
7. Ka Chun Cheung
8. Arthur Chiragiev
9. Yi Zhang
10. Kam Chuen Yuen

Papers from Jun Cai's perspective

Ordered by how strongly the researchers Jun Cai trusts endorse each paper. Same corpus, a different order for every researcher.

1. Risk Measures and Comonotonicity: A Review
2. Optimal reinsurance under VaR and CTE risk measures
3. Optimal reinsurance under mean-variance premium principles
4. The concept of comonotonicity in actuarial science and finance: theory (Insurance, Mathematics & Economics)
5. On the significance of expected shortfall as a coherent risk measure
6. Mean-Variance Optimal Reinsurance Arrangements
7. Making and Evaluating Point Forecasts
8. Value-at-risk versus expected shortfall: A practical perspective
9. An Extension of Arrow's Result on Optimal Reinsurance Contract
10. Optimal Reinsurance Arrangements Under Tail Risk Measures

Their papers

• Mixtures of Exponential Distributions (2006) — 81 citations
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications (2004) — 97 citations
• Multivariate risk model of phase type (2005) — 85 citations
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures (2007) — 260 citations
• Ruin probabilities and penalty functions with stochastic rates of interest (2004) — 50 citations
• Optimal reinsurance under VaR and CTE risk measures (2008) — 276 citations
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest (2006) — 83 citations
• Optimal Reciprocal Reinsurance Treaties Under the Joint Survival Probability and the Joint Profitable Probability (2013) — 77 citations
• Optimal reinsurance with positively dependent risks (2012) — 58 citations
• Pareto-Optimal Reinsurance Arrangements Under General Model Settings (2017) — 69 citations
• Optimal reinsurance with expectile (2016) — 54 citations
• Conditional tail expectations for multivariate phase-type distributions (2005) — 67 citations
• On the expected discounted penalty function at ruin of a surplus process with interest (2002) — 93 citations
• Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting (2013) — 91 citations
• Ruin probabilities with a Markov chain interest model (2004) — 70 citations
• Optimal reinsurance designs based on risk measures: a review (2020) — 56 citations
• Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (2019) — 63 citations
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models (2007) — 59 citations
• NWU property of a class of random sums (2000) — 59 citations