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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

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

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

Multivariate heavy-tailed models for value-at-risk estimation

Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10009624462

Distributional transforms, probability distortions, and their applications

Liu, Peng; Schied, Alexander; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 4, pp. 1490-1512

Persistent link: https://www.econbiz.de/10012796660

Robustness in the optimization of risk measures

Embrechts, Paul; Schied, Alexander; Wang, Ruodu - In: Operations research 70 (2022) 1, pp. 95-110

Persistent link: https://www.econbiz.de/10012820643

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

PELVE : probability equivalent level of VaR and ES

Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370

Persistent link: https://www.econbiz.de/10014364915

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