Bi, Junna; Cai, Jun; Zeng, Yan Equilibrium reinsurance-investment strategies with partial information and common shock dependence. (English) Zbl 1478.91160 Ann. Oper. Res. 307, No. 1-2, 1-24 (2021). MSC: 91G05 62P05 93E20 PDF BibTeX XML Cite \textit{J. Bi} et al., Ann. Oper. Res. 307, No. 1--2, 1--24 (2021; Zbl 1478.91160) Full Text: DOI OpenURL
Cai, Jun; Wang, Ying Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (English) Zbl 1471.91451 Insur. Math. Econ. 100, 329-349 (2021). MSC: 91G05 91B32 PDF BibTeX XML Cite \textit{J. Cai} and \textit{Y. Wang}, Insur. Math. Econ. 100, 329--349 (2021; Zbl 1471.91451) Full Text: DOI OpenURL
Bi, Junna; Cai, Jun Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. (English) Zbl 1419.91349 Insur. Math. Econ. 85, 1-14 (2019). MSC: 91B30 62P05 93E20 91G70 PDF BibTeX XML Cite \textit{J. Bi} and \textit{J. Cai}, Insur. Math. Econ. 85, 1--14 (2019; Zbl 1419.91349) Full Text: DOI OpenURL
Cai, Jun; Landriault, David; Shi, Tianxiang; Wei, Wei Joint insolvency analysis of a shared MAP risk process: a capital allocation application. (English) Zbl 1414.91168 N. Am. Actuar. J. 21, No. 2, 178-192 (2017). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Cai} et al., N. Am. Actuar. J. 21, No. 2, 178--192 (2017; Zbl 1414.91168) Full Text: DOI OpenURL
Cai, Jun; Wang, Ying; Mao, Tiantian Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. (English) Zbl 1394.91197 Insur. Math. Econ. 75, 105-116 (2017). MSC: 91B30 62P05 91G70 PDF BibTeX XML Cite \textit{J. Cai} et al., Insur. Math. Econ. 75, 105--116 (2017; Zbl 1394.91197) Full Text: DOI OpenURL
Cai, Jun; Lemieux, Christiane; Liu, Fangda Optimal reinsurance with regulatory initial capital and default risk. (English) Zbl 1304.91094 Insur. Math. Econ. 57, 13-24 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Cai} et al., Insur. Math. Econ. 57, 13--24 (2014; Zbl 1304.91094) Full Text: DOI OpenURL
Cai, Jun; Feng, Runhuan; Willmot, Gordon E. Analysis of the compound Poisson surplus model with liquid reserves, interest and dividends. (English) Zbl 1205.91079 Astin Bull. 39, No. 1, 225-247 (2009). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{J. Cai} et al., ASTIN Bull. 39, No. 1, 225--247 (2009; Zbl 1205.91079) Full Text: DOI OpenURL
Cai, Jun; Feng, Runhuan; Willmot, Gordon E. The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function. (English) Zbl 1170.91407 Methodol. Comput. Appl. Probab. 11, No. 3, 401-423 (2009). MSC: 91B30 91B70 PDF BibTeX XML Cite \textit{J. Cai} et al., Methodol. Comput. Appl. Probab. 11, No. 3, 401--423 (2009; Zbl 1170.91407) Full Text: DOI OpenURL
Cai, Jun; Feng, Runhuan; Willmot, Gordon E. On the expectation of total discounted operating costs up to default and its applications. (English) Zbl 1173.91023 Adv. Appl. Probab. 41, No. 2, 495-522 (2009). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 91B70 91G20 PDF BibTeX XML Cite \textit{J. Cai} et al., Adv. Appl. Probab. 41, No. 2, 495--522 (2009; Zbl 1173.91023) Full Text: DOI OpenURL
Cai, Jun On the time value of absolute ruin with debit interest. (English) Zbl 1141.91023 Adv. Appl. Probab. 39, No. 2, 343-359 (2007). Reviewer: Bero Roos (Leicester) MSC: 91B30 60K05 91B70 PDF BibTeX XML Cite \textit{J. Cai}, Adv. Appl. Probab. 39, No. 2, 343--359 (2007; Zbl 1141.91023) Full Text: DOI Euclid OpenURL
Cai, Jun; Xu, Chengming Authors’ reply to: “Discussion to: ‘On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion”. (English) Zbl 1479.91311 N. Am. Actuar. J. 10, No. 2, 129-131 (2006). MSC: 91G05 60J65 60J74 45J05 PDF BibTeX XML Cite \textit{J. Cai} and \textit{C. Xu}, N. Am. Actuar. J. 10, No. 2, 129--131 (2006; Zbl 1479.91311) Full Text: DOI OpenURL
Cai, Jun; Gerber, Hans U.; Yang, Hailiang Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest. (English) Zbl 1479.91308 N. Am. Actuar. J. 10, No. 2, 94-108 (2006). MSC: 91G05 60J60 60J65 PDF BibTeX XML Cite \textit{J. Cai} et al., N. Am. Actuar. J. 10, No. 2, 94--108 (2006; Zbl 1479.91308) Full Text: DOI OpenURL
Cai, Jun; Li, Haijun Conditional tail expectations for multivariate phase-type distributions. (English) Zbl 1079.62022 J. Appl. Probab. 42, No. 3, 810-825 (2005). MSC: 62E15 62P05 91B30 60J20 62N05 PDF BibTeX XML Cite \textit{J. Cai} and \textit{H. Li}, J. Appl. Probab. 42, No. 3, 810--825 (2005; Zbl 1079.62022) Full Text: DOI OpenURL
Cai, Jun; Dickson, David C. M. On the expected discounted penalty function at ruin of a surplus process with interest. (English) Zbl 1074.91027 Insur. Math. Econ. 30, No. 3, 389-404 (2002). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 44A10 45D05 91B70 PDF BibTeX XML Cite \textit{J. Cai} and \textit{D. C. M. Dickson}, Insur. Math. Econ. 30, No. 3, 389--404 (2002; Zbl 1074.91027) Full Text: DOI OpenURL