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Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
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Risk bounds for factor models
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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Risk aggregation with dependence uncertainty
Bernhard, Carole; Jiang, Xiao; Wang, Ruodu - In: Insurance / Mathematics & economics 54 (2014), pp. 93-108
Persistent link: https://www.econbiz.de/10010259666
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Scenario-based risk evaluation
Wang, Ruodu; Ziegel, Johanna F. - In: Finance and stochastics 25 (2021) 4, pp. 725-756
Persistent link: https://www.econbiz.de/10012665201
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Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu; Wei, Yunran - In: Insurance / Mathematics & economics 93 (2020), pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
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Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu; Lin, Liyuan; Wang, Ruodu - In: Insurance / Mathematics & economics 102 (2022), pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
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Parametric measures of variability induced by risk measures
Bellini, Fabio; Fadina, Tolulope; Wang, Ruodu; Wei, Yunran - In: Insurance / Mathematics & economics 106 (2022), pp. 270-284
Persistent link: https://www.econbiz.de/10013380547