Jing Yao
Jing Yao
Heriot Watt University
Verified email at vub.ac.be
Title
Cited by
Cited by
Year
How robust is the value-at-risk of credit risk portfolios?
C Bernard, L Rüschendorf, S Vanduffel, J Yao
The European Journal of Finance 23 (6), 507-534, 2017
432017
Optimal portfolios with downside risk
F Klebaner, Z Landsman, U Makov, J Yao
Quantitative Finance 17 (3), 315-325, 2017
232017
A note on Stein's lemma for multivariate elliptical distributions
Z Landsman, S Vanduffel, J Yao
Journal of Statistical Planning and Inference 143 (11), 2016-2022, 2013
142013
Some Stein-type inequalities for multivariate elliptical distributions and applications
Z Landsman, S Vanduffel, J Yao
Statistics & Probability Letters 97, 54-62, 2015
132015
A Stein Type Lemma for the Multivariate Generalized Hyperbolic Distribution
S Vanduffel, J Yao
European Journal of Operational Research, 2016
112016
Double trigger agricultural insurance products with weather index and yield index
Y Xiao, J Yao
China Agricultural Economic Review, 2019
72019
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
G Deelstra, G Rayée, S Vanduffel, J Yao
ASTIN Bulletin: The Journal of the IAA 44 (2), 237-276, 2014
62014
Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models
T Shushi, J Yao
Insurance: Mathematics and Economics 93, 178-186, 2020
52020
On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality
X Deng, J Yao
Communications in Statistics-Theory and Methods 47 (21), 5346-5356, 2018
42018
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
M Zhou, J Dhaene, J Yao
Insurance: Mathematics and Economics 79, 92-100, 2018
42018
Closed‐form approximations for spread options in Lévy markets
J Van Belle, S Vanduffel, J Yao
Applied Stochastic Models in Business and Industry 35 (3), 732-746, 2019
22019
Correlation matrices with average constraints
J Tuitman, S Vanduffel, J Yao
Statistics & Probability Letters 165, 108868, 2020
12020
Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
Z Li, J Luo, J Yao
Journal of Computational and Applied Mathematics 391, 113459, 2021
2021
A note on joint mix random vectors
Y Xiao, J Yao
Communications in Statistics-Theory and Methods 49 (12), 3063-3072, 2020
2020
On the Equivalence of the Coefficient of Variation Ordering and the Lorenz Ordering Within Two-Parameter Families
Y Xiao, J Yao
International Conference of Celebrating Professor Jinhua Cao's 80th Birthday …, 2019
2019
Closed-Form Approximations for Spread Options in Lévy Markets
J Belle, S Vanduffel, J Yao
Forthcoming in Applied Stochastic Models in Business and Industry, 2018
2018
Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16 (3)
S Vanduffel, J Yao
North American Actuarial Journal 17 (1), 98-100, 2013
2013
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Articles 1–17