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Cai, Jun

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Author ID: cai.jun Recent zbMATH articles by "Cai, Jun"
Published as: Cai, J.; Cai, Jun
Documents Indexed: 79 Publications since 1990

Publications by Year

Citations contained in zbMATH

56 Publications have been cited 926 times in 612 Documents Cited by Year
Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417
Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
87
2008
Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. Zbl 1162.91402
Cai, Jun; Tan, Ken Seng
86
2007
On the expected discounted penalty function at ruin of a surplus process with interest. Zbl 1074.91027
Cai, Jun; Dickson, David C. M.
51
2002
On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications. Zbl 1054.60012
Cai, Jun; Tang, Qihe
50
2004
Ruin probabilities and penalty functions with stochastic rates of interest. Zbl 1070.60043
Cai, Jun
41
2004
Conditional tail expectations for multivariate phase-type distributions. Zbl 1079.62022
Cai, Jun; Li, Haijun
40
2005
Multivariate risk model of phase type. Zbl 1122.60049
Cai, Jun; Li, Haijun
40
2005
On the time value of absolute ruin with debit interest. Zbl 1141.91023
Cai, Jun
36
2007
On the expectation of total discounted operating costs up to default and its applications. Zbl 1173.91023
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
32
2009
Dependence properties and bounds for ruin probabilities in multivariate compound risk models. Zbl 1280.91090
Cai, Jun; Li, Haijun
26
2007
Some new notions of dependence with applications in optimal allocation problems. Zbl 1296.91246
Cai, Jun; Wei, Wei
25
2014
NWU property of a class of random sums. Zbl 0980.60109
Cai, Jun; Kalashnikov, Vladimir
25
2000
Optimal reinsurance with positively dependent risks. Zbl 1239.91075
Cai, Jun; Wei, Wei
24
2012
Ruin in the perturbed compound Poisson risk process under interest force. Zbl 1074.60090
Cai, Jun; Yang, Hailiang
24
2005
Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks. Zbl 1321.60026
Cai, Jun; Wei, Wei
22
2015
Ruin probabilities with dependent rates of interest. Zbl 1007.60096
Cai, Jun
22
2002
Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting. Zbl 1290.91075
Bai, Lihua; Cai, Jun; Zhou, Ming
20
2013
Optimal reinsurance from the perspectives of both an insurer and a reinsurer. Zbl 1390.91167
Cai, Jun; Lemieux, Christiane; Liu, Fangda
19
2016
Lundberg inequalities for renewal equations. Zbl 1003.60081
Willmot, Gordon E.; Cai, Jun; Lin, X. Sheldon
19
2001
Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest. Zbl 1074.91028
Cai, Jun; Dickson, David C. M.
18
2003
Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031
Willmot, Gordon E.; Drekic, Steve; Cai, Jun
16
2005
Ruin probabilities with a Markov chain interest model. Zbl 1122.91340
Cai, Jun; Dickson, David C. M.
15
2004
Pareto-optimal reinsurance arrangements under general model settings. Zbl 1422.91329
Cai, Jun; Liu, Haiyan; Wang, Ruodu
13
2017
Discrete time risk models under rates of interest. Zbl 1031.91057
Cai, Jun
13
2002
Two-sided bounds for ruin probabilities when the adjustment coefficient does not exist. Zbl 0922.62108
Cai, Jun; Garrido, José
13
1999
Optimal reinsurance with expectile. Zbl 1401.91106
Cai, Jun; Weng, Chengguo
12
2016
Optimal reinsurance with regulatory initial capital and default risk. Zbl 1304.91094
Cai, Jun; Lemieux, Christiane; Liu, Fangda
10
2014
Aging properties and bounds for ruin probabilities and stop-loss premiums. Zbl 0954.62123
Cai, Jun; Garrido, José
10
1998
A perturbed risk model with dependence between premium rates and claim sizes. Zbl 1231.91263
Zhou, Ming; Cai, Jun
9
2009
Asymptotic forms and bounds for tails of convolutions of compound geometric distributions, with applications. Zbl 1270.60021
Cai, Jun; Garrido, José
9
2002
Asymptotic equivalence of risk measures under dependence uncertainty. Zbl 1403.91188
Cai, Jun; Liu, Haiyan; Wang, Ruodu
8
2018
On the invariant properties of notions of positive dependence and copulas under increasing transformations. Zbl 1239.91074
Cai, Jun; Wei, Wei
8
2012
The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function. Zbl 1170.91407
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
8
2009
Aging and other distributional properties of discrete compound geometric distributions. Zbl 1025.62006
Willmot, Gordon E.; Cai, Jun
7
2001
On classes of lifetime distributions with unknown age. Zbl 0980.62009
Willmot, Gordon E.; Cai, Jun
7
2000
Some improvements on the Lundberg bound for the ruin probability. Zbl 0904.60068
Cai, Jun; Wu, Yanhong
7
1997
Optimal dynamic risk control for insurers with state-dependent income. Zbl 1291.93334
Zhou, Ming; Cai, Jun
6
2014
Monotonicity and aging properties of random sums. Zbl 1076.60034
Cai, Jun; Willmot, Gordon E.
6
2005
Parallel solution of mixed discrete structural optimization problems using evolution strategy. Zbl 1071.74673
Cai, J.; Thierauf, G.
5
1996
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. Zbl 1419.91349
Bi, Junna; Cai, Jun
4
2019
Risk measures based on behavioural economics theory. Zbl 1397.91606
Mao, Tiantian; Cai, Jun
4
2018
Reliability lower bounds for HNBUE distributions class with known mean and variance. Zbl 0949.62574
Cai, Jun
4
1995
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. Zbl 1394.91197
Cai, Jun; Wang, Ying; Mao, Tiantian
3
2017
On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest. Zbl 1291.91096
Cai, Jun; Yang, Hailiang
3
2014
Convex risk functionals: representation and applications. Zbl 1431.91340
Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu
2
2020
Case-cohort studies with interval-censored failure time data. Zbl 07072179
Zhou, Q.; Zhou, H.; Cai, J.
2
2017
Portfolio optimization with uncertain exit time in infinite-time horizon. Zbl 1292.91162
Guo, Wen-Jing; Cai, Jun
2
2013
Low complexity construction for quasi-cyclic low-density parity-check codes by progressive-block growth. Zbl 1241.94034
Ren, PinYi; Yuan, Qiang; Wang, Rui; Cai, Jun
2
2011
Analysis of the compound Poisson surplus model with liquid reserves, interest and dividends. Zbl 1205.91079
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
2
2009
The preservation of classes of discrete distributions under convolution and mixing. Zbl 1090.60014
Pavlova, Kristina P.; Cai, Jun; Willmot, Gordon E.
2
2006
Classifying G-protein coupled receptors with bagging classification tree. Zbl 1089.92009
Huang, Ying; Cai, Jun; Ji, Liang; Li, Yanda
2
2004
Commuting mappings on the Hochschild extension of an algebra. Zbl 1410.16040
Chen, L.; Cai, J.
1
2018
Joint insolvency analysis of a shared MAP risk process: a capital allocation application. Zbl 1414.91168
Cai, Jun; Landriault, David; Shi, Tianxiang; Wei, Wei
1
2017
Experimental study of three-scalar mixing in a turbulent coaxial jet. Zbl 1241.76012
Cai, J.; Dinger, M. J.; Li, W.; Carter, C. D.; Ryan, M. D.; Tong, C.
1
2011
Density functional theory of square-well chain mixtures near solid surface. Zbl 1127.82327
Zhang, Shuling; Cai, Jun; Liu, Honglai; Hu, Ying
1
2004
Finite Zeitübersetzung mit Extrapolation in der nichtlinearen Strukturdynamik. (Finite elements in time with extrapolation in nonlinear structural dynamics). Zbl 0733.73061
Ruge, P.; Cai, J.
1
1991
Convex risk functionals: representation and applications. Zbl 1431.91340
Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu
2
2020
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. Zbl 1419.91349
Bi, Junna; Cai, Jun
4
2019
Asymptotic equivalence of risk measures under dependence uncertainty. Zbl 1403.91188
Cai, Jun; Liu, Haiyan; Wang, Ruodu
8
2018
Risk measures based on behavioural economics theory. Zbl 1397.91606
Mao, Tiantian; Cai, Jun
4
2018
Commuting mappings on the Hochschild extension of an algebra. Zbl 1410.16040
Chen, L.; Cai, J.
1
2018
Pareto-optimal reinsurance arrangements under general model settings. Zbl 1422.91329
Cai, Jun; Liu, Haiyan; Wang, Ruodu
13
2017
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. Zbl 1394.91197
Cai, Jun; Wang, Ying; Mao, Tiantian
3
2017
Case-cohort studies with interval-censored failure time data. Zbl 07072179
Zhou, Q.; Zhou, H.; Cai, J.
2
2017
Joint insolvency analysis of a shared MAP risk process: a capital allocation application. Zbl 1414.91168
Cai, Jun; Landriault, David; Shi, Tianxiang; Wei, Wei
1
2017
Optimal reinsurance from the perspectives of both an insurer and a reinsurer. Zbl 1390.91167
Cai, Jun; Lemieux, Christiane; Liu, Fangda
19
2016
Optimal reinsurance with expectile. Zbl 1401.91106
Cai, Jun; Weng, Chengguo
12
2016
Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks. Zbl 1321.60026
Cai, Jun; Wei, Wei
22
2015
Some new notions of dependence with applications in optimal allocation problems. Zbl 1296.91246
Cai, Jun; Wei, Wei
25
2014
Optimal reinsurance with regulatory initial capital and default risk. Zbl 1304.91094
Cai, Jun; Lemieux, Christiane; Liu, Fangda
10
2014
Optimal dynamic risk control for insurers with state-dependent income. Zbl 1291.93334
Zhou, Ming; Cai, Jun
6
2014
On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest. Zbl 1291.91096
Cai, Jun; Yang, Hailiang
3
2014
Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting. Zbl 1290.91075
Bai, Lihua; Cai, Jun; Zhou, Ming
20
2013
Portfolio optimization with uncertain exit time in infinite-time horizon. Zbl 1292.91162
Guo, Wen-Jing; Cai, Jun
2
2013
Optimal reinsurance with positively dependent risks. Zbl 1239.91075
Cai, Jun; Wei, Wei
24
2012
On the invariant properties of notions of positive dependence and copulas under increasing transformations. Zbl 1239.91074
Cai, Jun; Wei, Wei
8
2012
Low complexity construction for quasi-cyclic low-density parity-check codes by progressive-block growth. Zbl 1241.94034
Ren, PinYi; Yuan, Qiang; Wang, Rui; Cai, Jun
2
2011
Experimental study of three-scalar mixing in a turbulent coaxial jet. Zbl 1241.76012
Cai, J.; Dinger, M. J.; Li, W.; Carter, C. D.; Ryan, M. D.; Tong, C.
1
2011
On the expectation of total discounted operating costs up to default and its applications. Zbl 1173.91023
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
32
2009
A perturbed risk model with dependence between premium rates and claim sizes. Zbl 1231.91263
Zhou, Ming; Cai, Jun
9
2009
The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function. Zbl 1170.91407
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
8
2009
Analysis of the compound Poisson surplus model with liquid reserves, interest and dividends. Zbl 1205.91079
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
2
2009
Optimal reinsurance under VaR and CTE risk measures. Zbl 1140.91417
Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi
87
2008
Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures. Zbl 1162.91402
Cai, Jun; Tan, Ken Seng
86
2007
On the time value of absolute ruin with debit interest. Zbl 1141.91023
Cai, Jun
36
2007
Dependence properties and bounds for ruin probabilities in multivariate compound risk models. Zbl 1280.91090
Cai, Jun; Li, Haijun
26
2007
The preservation of classes of discrete distributions under convolution and mixing. Zbl 1090.60014
Pavlova, Kristina P.; Cai, Jun; Willmot, Gordon E.
2
2006
Conditional tail expectations for multivariate phase-type distributions. Zbl 1079.62022
Cai, Jun; Li, Haijun
40
2005
Multivariate risk model of phase type. Zbl 1122.60049
Cai, Jun; Li, Haijun
40
2005
Ruin in the perturbed compound Poisson risk process under interest force. Zbl 1074.60090
Cai, Jun; Yang, Hailiang
24
2005
Equilibrium compound distributions and stop-loss moments. Zbl 1144.91031
Willmot, Gordon E.; Drekic, Steve; Cai, Jun
16
2005
Monotonicity and aging properties of random sums. Zbl 1076.60034
Cai, Jun; Willmot, Gordon E.
6
2005
On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications. Zbl 1054.60012
Cai, Jun; Tang, Qihe
50
2004
Ruin probabilities and penalty functions with stochastic rates of interest. Zbl 1070.60043
Cai, Jun
41
2004
Ruin probabilities with a Markov chain interest model. Zbl 1122.91340
Cai, Jun; Dickson, David C. M.
15
2004
Classifying G-protein coupled receptors with bagging classification tree. Zbl 1089.92009
Huang, Ying; Cai, Jun; Ji, Liang; Li, Yanda
2
2004
Density functional theory of square-well chain mixtures near solid surface. Zbl 1127.82327
Zhang, Shuling; Cai, Jun; Liu, Honglai; Hu, Ying
1
2004
Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest. Zbl 1074.91028
Cai, Jun; Dickson, David C. M.
18
2003
On the expected discounted penalty function at ruin of a surplus process with interest. Zbl 1074.91027
Cai, Jun; Dickson, David C. M.
51
2002
Ruin probabilities with dependent rates of interest. Zbl 1007.60096
Cai, Jun
22
2002
Discrete time risk models under rates of interest. Zbl 1031.91057
Cai, Jun
13
2002
Asymptotic forms and bounds for tails of convolutions of compound geometric distributions, with applications. Zbl 1270.60021
Cai, Jun; Garrido, José
9
2002
Lundberg inequalities for renewal equations. Zbl 1003.60081
Willmot, Gordon E.; Cai, Jun; Lin, X. Sheldon
19
2001
Aging and other distributional properties of discrete compound geometric distributions. Zbl 1025.62006
Willmot, Gordon E.; Cai, Jun
7
2001
NWU property of a class of random sums. Zbl 0980.60109
Cai, Jun; Kalashnikov, Vladimir
25
2000
On classes of lifetime distributions with unknown age. Zbl 0980.62009
Willmot, Gordon E.; Cai, Jun
7
2000
Two-sided bounds for ruin probabilities when the adjustment coefficient does not exist. Zbl 0922.62108
Cai, Jun; Garrido, José
13
1999
Aging properties and bounds for ruin probabilities and stop-loss premiums. Zbl 0954.62123
Cai, Jun; Garrido, José
10
1998
Some improvements on the Lundberg bound for the ruin probability. Zbl 0904.60068
Cai, Jun; Wu, Yanhong
7
1997
Parallel solution of mixed discrete structural optimization problems using evolution strategy. Zbl 1071.74673
Cai, J.; Thierauf, G.
5
1996
Reliability lower bounds for HNBUE distributions class with known mean and variance. Zbl 0949.62574
Cai, Jun
4
1995
Finite Zeitübersetzung mit Extrapolation in der nichtlinearen Strukturdynamik. (Finite elements in time with extrapolation in nonlinear structural dynamics). Zbl 0733.73061
Ruge, P.; Cai, J.
1
1991
all top 5

Cited by 705 Authors

29 Cai, Jun
23 Willmot, Gordon E.
21 Li, Xiaohu
19 Tang, Qihe
18 Yang, Hailiang
17 Chi, Yichun
16 Cheung, Ka Chun
15 Cheung, Eric C. K.
15 Zhao, Peng
14 Yin, Chuancun
14 Yuen, Kam Chuen
13 Weng, Chengguo
12 Asimit, Alexandru V.
12 Tan, Ken Seng
11 Liang, Zhibin
11 Zhang, Yiying
10 Feng, Runhuan
10 Woo, Jae-Kyung
10 Zhang, Zhimin
9 Wang, Ruodu
9 Wu, Rong
9 Yang, Hu
8 Psarrakos, Georgios
8 Yam, Sheung Chi Phillip
8 Zhang, Yi
7 Balakrishnan, Narayanaswamy
7 Hu, Yijun
7 Landriault, David
7 Li, Chen
7 Politis, Konstadinos
7 Ren, Jiandong
7 Wang, Rongming
6 Balbás, Alejandro
6 Balbás, Beatriz
6 Furman, Edward
6 Guo, Junyi
6 Hu, Xiang
6 Šiaulys, Jonas
6 Wang, Dingcheng
6 Wang, Guojing
6 Zhou, Ming
5 Assa, Hirbod
5 Hu, Junlei
5 Konstantinides, Dimitrios G.
5 Landsman, Zinoviy M.
5 Liu, Haiyan
5 Lo, Ambrose
5 Mao, Tiantian
5 Meng, Hui
5 Wang, Dehui
5 You, Yinping
5 Young, Virginia R.
5 Zhu, Jinxia
5 Zhuang, Sheng Chao
4 Badescu, Alexandru M.
4 Badescu, Andrei L.
4 Balbás, Raquel
4 Belzunce, Félix
4 Boonen, Tim J.
4 Chen, Yiqing
4 Cheng, Jianhua
4 Chong, Wing Fung
4 Di Bernardino, Elena
4 Drekic, Steve
4 Garrido, José Luis
4 Jin, Zhuo
4 Kim, Joseph Hyun Tae
4 Lefèvre, Claude
4 Leipus, Remigijus
4 Li, Haijun
4 Li, Jinzhu
4 Li, Shuanming
4 Liu, Fangda
4 Lu, Zhiyi
4 Pan, Xiaoqing
4 Pellerey, Franco
4 Rabehasaina, Landy
4 Sendova, Kristina P.
4 Siu, Tak Kuen
4 Vanduffel, Steven
4 Wang, Yuebao
4 Wei, Wei
4 Wen, Yuzhen
4 Yao, Dingjun
4 Zhang, Lianzeng
4 Zitikis, Ričardas
3 Boxma, Onno Johan
3 Brandtner, Mario
3 Castañer, Anna
3 Chadjiconstantinidis, Stathis
3 Claramunt, M. Mercè
3 Cui, Wei
3 Da, Gaofeng
3 Gerber, Hans U.
3 Ghossoub, Mario
3 Guo, Fenglong
3 He, Qi-Ming
3 Heras, Antonio
3 Jiang, Wenjun
3 Kim, Eunseok
...and 605 more Authors
all top 5

Cited in 101 Serials

174 Insurance Mathematics & Economics
51 Scandinavian Actuarial Journal
41 Statistics & Probability Letters
23 Journal of Computational and Applied Mathematics
22 Journal of Applied Probability
22 Methodology and Computing in Applied Probability
21 ASTIN Bulletin
17 Communications in Statistics. Theory and Methods
13 North American Actuarial Journal
12 Probability in the Engineering and Informational Sciences
12 Stochastic Models
11 Applied Mathematics and Computation
9 Advances in Applied Probability
8 Acta Mathematicae Applicatae Sinica. English Series
7 European Actuarial Journal
6 Annals of Operations Research
6 European Journal of Operational Research
6 Mathematical Problems in Engineering
5 Statistics
5 Stochastic Processes and their Applications
5 Acta Mathematica Sinica. English Series
5 Applied Stochastic Models in Business and Industry
5 Journal of Systems Science and Complexity
5 Frontiers of Mathematics in China
4 Metrika
4 Finance and Stochastics
4 Mathematical Methods of Operations Research
4 Journal of Applied Mathematics and Computing
4 Science China. Mathematics
3 Journal of Mathematical Analysis and Applications
3 Lithuanian Mathematical Journal
3 Journal of Multivariate Analysis
3 Stochastic Analysis and Applications
3 Wuhan University Journal of Natural Sciences (WUJNS)
3 Journal of the Korean Statistical Society
2 Computer Methods in Applied Mechanics and Engineering
2 Automatica
2 Automation and Remote Control
2 Applied Mathematics. Series B (English Edition)
2 Journal of Inequalities and Applications
2 Journal of Shanghai University
2 Discrete Dynamics in Nature and Society
2 Extremes
2 The ANZIAM Journal
2 Advances in Difference Equations
2 Journal of Industrial and Management Optimization
2 SIAM Journal on Financial Mathematics
2 Statistics & Risk Modeling
2 Dependence Modeling
2 Journal of Function Spaces
2 Modern Stochastics. Theory and Applications
1 International Journal of Modern Physics B
1 Computers and Fluids
1 Discrete Applied Mathematics
1 Journal of Fluid Mechanics
1 Scandinavian Journal of Statistics
1 Ukrainian Mathematical Journal
1 Annals of the Institute of Statistical Mathematics
1 Biometrics
1 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
1 Journal of the Korean Mathematical Society
1 Journal of Mathematical Economics
1 Journal of Statistical Planning and Inference
1 Mathematics of Operations Research
1 Operations Research
1 Scandinavian Actuarial Journal
1 Operations Research Letters
1 Bulletin of the Iranian Mathematical Society
1 Computational Mechanics
1 Queueing Systems
1 The Annals of Applied Probability
1 Applied Mathematical Modelling
1 Computational Statistics and Data Analysis
1 Indagationes Mathematicae. New Series
1 Cybernetics and Systems Analysis
1 Journal of Mathematical Sciences (New York)
1 Turkish Journal of Mathematics
1 Top
1 Lifetime Data Analysis
1 Discrete and Continuous Dynamical Systems
1 Journal of Nonparametric Statistics
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Abstract and Applied Analysis
1 Journal of Scheduling
1 Mathematical Inequalities & Applications
1 Australian & New Zealand Journal of Statistics
1 Far East Journal of Applied Mathematics
1 RAIRO. Operations Research
1 Nonlinear Analysis. Modelling and Control
1 Quantitative Finance
1 Archives of Computational Methods in Engineering
1 Journal of Applied Mathematics
1 Computational Biology and Chemistry
1 Mathematics and Financial Economics
1 Journal of Statistical Theory and Practice
1 Electronic Journal of Statistics
1 Journal of Probability and Statistics
1 Symmetry
1 Sankhyā. Series B
1 Numerical Algebra, Control and Optimization
...and 1 more Serials

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