Narrow search
Showing 1 - 2 of 2
Cover Image
Adjusted expected shortfall
Burzoni, Matteo; Munari, Cosimo-Andrea; Wang, Ruodu - 2020
simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding …
Persistent link: https://www.econbiz.de/10012421451
Cover Image
Quantile-based risk sharing
Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - 2017 - This version: October 24, 2017
We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected Shortfall (ES), the two popular and competing...
Persistent link: https://www.econbiz.de/10011874813