57 citations · 115 across the 39 of their papers we have counts for
7 papers · 1 filter
Multivariate tail covariance for generalized skew-elliptical distributions
Baishuai Zuo, Chuancun Yin
In this paper, the multivariate tail covariance (MTCov) for generalized skew-elliptical distributions is considered. Some special cases for this distribution, such as generalized s…
Stochastic comparisons of sample mean differences for multivariate random variables
Xuehua Yin, Dan Zhu, Chuancun Yin
In this paper, we establish the stochastic ordering of the Gini indexes for multivariate elliptical risks which generalized the corresponding results for multivariate normal risks.…
A unifying approach to constrained and unconstrained optimal reinsurance
Yuxia Huang, Chuancun Yin
In this paper, we study two classes of optimal reinsurance models from perspectives of both insurers and reinsurers by minimizing their convex combination where the risk is measure…
Sharp convex bounds on the aggregate sums--An alternative proof
Chuancun Yin, Dan Zhu
It is well known that a random vector with given marginal distributions is comonotonic if and only if it has the largest sum with respect to the convex order [ Kaas, Dhaene, Vyncke…
Remarks on equality of two distributions under some partial orders
Chuancun Yin
In this note we establish some appropriate conditions for stochastic equality of two random variables/vectors which are ordered with respect to convex ordering or with respect to s…
New class of distortion risk measures and their tail asymptotics with emphasis on VaR
Chuancun Yin, Dan Zhu
Distortion risk measures are extensively used in finance and insurance applications because of their appealing properties. We present three methods to construct new class of distor…
A new multivariate dependence measure based on comonotonicity
Ying Zhang, Chuancun Yin
In this paper we introduce a new multivariate dependence measure based on comonotonicity by means of product moment which motivated by the recent papers of Koch and Schepper (ASTIN…