Published in Working Paper, 2025
This paper addresses optimal pricing and insurance design for electric vehicle charging stations.
Recommended citation: Pu, T., Wang, F., & Zhang, Y. (2025). "Optimal pricing and insurance design for electric vehicle charging stations." Working Paper.
Published in Acta Mathematicae Applicatae Sinica (Under review), 2025
This paper studies stochastic dominance for claim spacings from heterogeneous insurance portfolios.
Recommended citation: Pu, T., Yong, Y., Zhang, J., & Zhang, Y. (2025). "Stochastic dominance for claim spacings from heterogeneous insurance portfolios." Acta Mathematicae Applicatae Sinica (Under review).
Published in Working Paper, 2025
This paper addresses optimal capital reserve and allocation for multivariate risks using a mean-variance approach.
Recommended citation: Pu, T., Yang, Y., Yao, J., & Zhang, Y. (2025). "Optimal capital reserve and allocation for multivariate risks: A one-step mean-variance approach." Working Paper.
Published in Working Paper, 2025
This paper proposes novel conditional risk measures VCoVaR and VCoES to quantify systemic risk spillover effects.
Recommended citation: Pu, T., Wei, Y., & Zhang, Y. (2025). "Vulnerability-conditional risk measure and its applications." Working Paper.
Published in Probability in the Engineering and Informational Sciences, 2025
This paper examines multivariate contribution measures of systemic risk in cryptocurrency markets.
Recommended citation: Wen, L., Li, J., Pu, T., & Zhang, Y. (2025). "On multivariate contribution measures of systemic risk with applications in cryptocurrency market." Probability in the Engineering and Informational Sciences, 39(4), 551-578.
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Published in Working Paper, 2025
This paper proposes a new class of conditional stochastic orders incorporating external information.
Recommended citation: Laeven, R. J. A., Pu, T., & Zhang, Y. (2025). "Conditional Expectation Stochastic Orders." Working Paper.
Published in Quantitative Finance, 2024
This paper proposes the joint marginal expected shortfall (JMES) to measure systemic risk.
Recommended citation: Pu, T., Zhang, Y., & Zhang, Y. (2024). "On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures." Quantitative Finance, 24(7), 889-908.
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Published in Communications in Statistics-Theory and Methods, 2023
This paper introduces integral stochastic orderings of a class of asymmetric distributions.
Recommended citation: Pu, T., Zhang, Y., & Yin, C. (2023). "Generalized Location-Scale Mixtures of Elliptical Distributions: Definitions and Stochastic Comparisons." Communications in Statistics-Theory and Methods, 53(11), 3851-3875.
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Published in Communications in Mathematics and Statistics, 2023
This paper derives the characteristic function of matrix variate skew normal distribution.
Recommended citation: Pu, T., Balakrishnan, N., & Yin, C. (2023). "An Identity for Expectations and Characteristic Function of Matrix Variate Skew-normal Distribution with Applications to Associated Stochastic Orderings." Communications in Mathematics and Statistics, 11(3), 629-647.
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