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Research interests

Professor Jun Cai's research interests are in the fields of actuarial science, applied probability, and mathematical finance,Ìý with focuses currently on quantitative risk management for insurance and finance,Ìý insurance decision problems,Ìý dependence modelling,Ìý and risk analysis with model uncertainty.

Education/biography

Jun Cai obtained his PhD in Actuarial Mathematics from Concordia University.ÌýÌý Prior to joining the University of À¶Ý®ÊÓƵ, he held a position in the Centre for Actuarial Studies at the University of Melbourne.ÌýJun is currently serving as an Associate Editor for Insurance: Mathematics and Economics and for Statistical Theory and Related Fields, respectively.Ìý He also served as a guest editor for the 2015 special issue of Journal of Multivariate Analysis on ``High-Dimensional Dependence and Copulas".

Selected publications

• Cai J, Mao T. (2020) Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers.ÌýASTIN BulletinÌý50(3), 1065-1092.
• Cai J, Chi Y. (2020) Optimal reinsurance designs based on risk measures: a review.ÌýStatistical Theory and Related FieldsÌý4, 1-13.
• Cai J, Liu H, Wang R. (2018) Asymptotic equivalence of risk measures under dependence uncertainty.ÌýMathematical FinanceÌý28, 29-49.
• Mao T, Cai J. (2018) Risk measures based on the behavioural economics theory.ÌýFinance and StochasticsÌý22, 367-393.
• Cai J, Wang Y, Mao T. (2017) Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures.ÌýInsurance: Mathematics and EconomicsÌý75, 105-116.
• Cai J, Liu H, Wang R. (2017) Pareto-optimal reinsurance arrangements under general model settings.ÌýInsurance: Mathematics and EconomicsÌý77, 24-37.
• Cai J, Weng C. (2016) Optimal reinsurance with expectile.ÌýScandinavian Actuarial JournalÌý(2016)(7), 624-645.
• Cai J, Lemieux C, Liu F. (2016) Optimal reinsurance from the perspectives of both an insurer and a reinsurer.ÌýASTIN BulletinÌý46(3), 815-849.
• Cai J, Wei W. (2015) Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks.ÌýJournal of Multivariate AnalysisÌý138, 156-169.
• Cai J, Yang H.L. (2014) On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest.ÌýAnnals of Operations ResearchÌý212(1), 61-77.
• Cai J, Fang Y, Li Z, Willmot G.E. (2013) Optimal reciprocal reinsurance treaties under the joint survival probability and the joint profitable probability.ÌýJournal of Risk and InsuranceÌý80(1), 145-168.
• Cai J, Feng R, Willmot G.E. (2009) On the total discounted operating costs up to default and its applications.ÌýAdvances in Applied ProbabilityÌý41(2), 495-522.
• Cai J, Tan K, Weng C, Zhang Y. (2008) Optimal reinsurance under VaR and CTE risk measures.ÌýInsurance: Mathematics and EconomicsÌý43, 185-196.
• Cai J. (2007) On the time value of absolute ruin with debit interest.ÌýAdvances in Applied ProbabilityÌý39(2), 343-359.
• Cai J, Tan K.S. (2007) Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures.ÌýASTIN BulletinÌý37(1), 93-112.
• Cai J, Gerber H, Yang H.L. (2006) Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest.ÌýNorth American Actuarial JournalÌý10(2), 94-119.
• Cai J, Li H. (2005) Conditional tail expectations for multivariate phase type distributions.ÌýJournal of Applied ProbabilityÌý42, 810-825.
• Cai J. (2004) Ruin probabilities and penalty functions with stochastic rates of interest.ÌýStochastic Processes and their ApplicationsÌý112, 53-78.
• Cai J, Tang Q.H. (2004) On max-sum-equivalence and convolution closure of heavy-tailed distributions and their applications.ÌýJournal of Applied ProbabilityÌý41, 117-130.