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An efficient approach to quantile capital allocation and sensitivity analysis
Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex - In: Mathematical Finance 29 (2019) 4, pp. 1131-1156
Persistent link: https://www.econbiz.de/10012095179
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Risk functionals with convex level sets
Wang, Ruodu; Wei, Yunran - In: Mathematical Finance 30 (2020) 4, pp. 1337-1367
Persistent link: https://www.econbiz.de/10012283201
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Bayes risk, elicitability, and the Expected Shortfall
Embrechts, Paul; Mao, Tiantian; Wang, Qiuqi; Wang, Ruodu - In: Mathematical Finance 31 (2021) 4, pp. 1190-1217
Persistent link: https://www.econbiz.de/10012538292
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Ordering and inequalities for mixtures on risk aggregation
Chen, Yuyu; Liu, Peng; Liu, Yang; Wang, Ruodu - In: Mathematical Finance 32 (2021) 1, pp. 421-451
Persistent link: https://www.econbiz.de/10012636231