科研(Research)

科研项目(Research projects)

  • 国家自然科学基金项目"基于风险度量的金融资本监管", 项目负责人,2017.1- 20120.12
  • 国家自然科学基金项目"多元极值理论及其在风险理论中的应用", 项目负责人,2014.1- 2016.12

STATISTICS PUBLICATIONS
  • Liu, F. and Mao, T.*, Wang, R. and Wei, L. (2021). Inf-convolution and optimal allocations for tail risk measures. Mathematics of Operations Research. forthcoming.
  • Embrechts, P., Mao, T.*, Wang, Q. and Wang, R. (2021). Bayes risk, elicitability, and the Expected Shortfall. Mathematical Finance, 31(4), 1190-1217.
  • Xia, W., Mao, T. and Hu, T. (2021) Preservation of log-concavity and log-convexity under operators. Probability in the Engineering and Informational Sciences, 35, 451–464.
  • Zhao, Y., Mao, T.*, and Yang, F. (2021). Estimation of Haezendonck-Goovaerts risk measures for extreme risks, Scandinavian Actuarial Journal, 7, 599-622.
  • Embrechts, P., Liu, H., Mao, T.*, and Wang, R. (2020). Quantile-based risk sharing with heterogeneous beliefs. Mathematical Programming, 181, 319-347.
  • Mao, T. and Wang, R. (2020). Risk aversion in regulatory capital principle. SIAM Journal on Financial Mathematics, 11, 169-200.
  • Mao, T., Wang, B. and Wang, R. (2019). Sums of Standard Uniform Random Variables. Journal of Applied Probability, 56(3), 918--936.
  • Mao, T. and Yang, F. (2019). Characterizations of risk aversion in cumulative prospect theory. Mathematics and Financial Economics, 13(2), 303-328.
  • Mao, T., Hu, J. and Liu, H. (2018). The average risk sharing problem under risk measure and expected utility theory. Insurance: Mathematics and Economics, 83, 170-179.
  • Mao, T. and Cai, J. (2018). Risk measures based on the behavioural economics theory. Finance and Stochastics, 22(2), 367--393.
  • He, F.,Mao, T.*, Hu, T. and Shu, L. (2017). Design and analysis of the weighted likelihood ratio chart based on a new type of statistical distance measure. Expert Systems with Applications, 94, 149-163.
  • Mao, T., Xia, W. and Hu, T. (2017). Preservation of log-concavity under convolution. Probability in the Engineering and Informational Sciences, 32(4), 567--579.
  • Cai, J., Wang, Y. and Mao, T. (2017). Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. Insurance: Mathematics and Economics, 75, 105–116.
  • LLiu, Q.,Mao, T.* and Hu, T. (2017). Closure Properties of the Second-order Regular Variation Under Convolutions. Communications in Statistics - Theory and Methods, 46, 104–119.
  • Bignozzi, V., Mao, T.*, Wang, B. and Wang, R. (2016). Diversification limit of quantiles under dependence uncertainty. Extremes, 19(2), 142–170.
  • Mao, T. and Yang, F. (2015). Risk concentration based on Expectiles for extreme risks under FGM copula, Insurance: Mathematics and Economics, 64, 429–439.
  • Mao, T.* and Ng, K. (2015). Second-order properties of tail probabilities of sums and randomly weighted sums. Extremes, 18(3), 403–435.
  • Mao, T. and Wang, R. (2015). On aggregation sets and lower-convex sets. Journal of Multivariate Analysis, 138, 170–181.
  • Mao, T., Ng, K. and Hu, T. (2015). Asymptotic expansions of generalized quantiles and Expectiles for extreme risks. Probability in the Engineering and Informational Sciences, 29, 309–327.
  • Mao, T. and Hua, L. (2016). Second-order regular variation inherited from Laplace-Stieltjes transforms. Communications in Statistics - Theory and Methods, 45(15), 4569–4588.
  • Mao, T. and Hu, T. (2015). Relations between the spectral measures and dependence of MEV distributions, Extremes, 18, 65–84.
  • Liu, Q., Mao, T. and Hu, T. (2014). The second-order regular variation of order statistics. Probability in the Engineering and Informational Sciences, 28(2), 209-222.
  • Mao, T. and Hu, T. (2013). Second-order properties of risk concentrations without the condition of asymptotic smoothness. Extremes, 16(4), 383-405.
  • Xu, M. and Mao, T. (2013). Optimal capital allocation based on the tail Mean-Variance model. Insurance: Mathematics and Economics, 53(3), 533-543.
  • Chen, D., Mao, T. and Hu, T. (2013). Asymptotic behavior of extremal events for aggregate dependent random variables. Probability in the Engineering and Informational Sciences, 27(4), 507-531.
  • Mao, T., Pan, X. and Hu, T. (2013). On orderings between weighted sums of variables. Probability in the Engineering and Informational Sciences, 27(1), 85-97.
  • Mao, T.., Lv, W. and Hu, T. (2012). Second-order expansions of the risk concentration based on CTE. Insurance: Mathematics and Economics, 51(2), 449-456.
  • Lv, W., Mao, T. and Hu, T. (2012). Properties of second-order regular variation and expansions for risk concentration. Probability in the Engineering and Informational Sciences, 26(4), 535-559.
  • Mao, T.. and Hu, T. (2012). Second-order properties of Haezendonck-Goovaerts risk measure for extreme risks. Insurance: Mathematics and Economics, 51(2), 333-343.
  • Chen, D., Mao, T., Pan, X. and Hu, T. (2012). Extreme value behavior of aggregate dependent risks. Insurance: Mathematics and Economics, 50(1), 99-108.
  • Mao, T. and Hu, T. (2011). A new proof of Cheung’s characterization of comonotonicity. Insurance: Mathematics and Economics, 48(2), 214-216.
  • Mao, T., Hu, T. and Zhao, P. (2010). Ordering convolutions of heterogeneous exponential and geometric distributions revisited. Probability in the Engineering and Informational Sciences, 24(3), 329-348.
  • Mao, T. and Hu, T. (2010). Stochastic properties of INID progressively Type-II censored order statistics. Journal of Multivariate Analysis, 101(6), 1493-1500.
  • Mao, T.. and Hu, T. (2010). Equivalent characterizations on orderings of order statistics and sample ranges. Probability in the Engineering and Informational Sciences, 24(2), 245-262.

返回(Back)