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Collective risk models with dependence uncertainty

Liu, Haiyan; Wang, Ruodu - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 361-389

Persistent link: https://www.econbiz.de/10011729564

Reduction of Value-at-Risk bounds via independence and variance information

Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; … - In: Scandinavian actuarial journal (2017) 3, pp. 245-266

Persistent link: https://www.econbiz.de/10011772119

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

Quantile-based risk sharing

Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - In: Operations research 66 (2018) 4, pp. 936-949

Persistent link: https://www.econbiz.de/10011916624

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

Range value-at-risk bounds for unimodal distributions under partial information

Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24

Persistent link: https://www.econbiz.de/10012419085

Bowley reinsurance with asymmetric information on the insurer's risk preferences

Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying - In: Scandinavian actuarial journal 2021 (2021) 7, pp. 623-644

Persistent link: https://www.econbiz.de/10012624638

Distributionally robust reinsurance with value-at-risk and conditional value-at-risk

Liu, Haiyan; Mao, Tiantian - In: Insurance / Mathematics & economics 107 (2022), pp. 393-417

Persistent link: https://www.econbiz.de/10013471260

International tail risk and world fear

Hollstein, Fabian; Nguyen, Duc Binh Benno; Prokopczuk, … - In: Journal of international money and finance 93 (2019), pp. 244-259

Persistent link: https://www.econbiz.de/10012138644

Tail risk and long memory in financial markets

Nguyen, Duc Binh Benno - 2018

Persistent link: https://www.econbiz.de/10012173996