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Weighted risk capital allocations in the presence of systematic risk
Furman, Edward; Kuznetsov, Alexey; Zitikis, Ričardas - In: Insurance / Mathematics & economics 79 (2018), pp. 75-81
Persistent link: https://www.econbiz.de/10011825387
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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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Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Furman, Edward; Kye, Yisub; Su, Jianxi - In: Insurance / Mathematics & economics 96 (2021), pp. 153-167
Persistent link: https://www.econbiz.de/10012482842
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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