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Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks

Furman, Edward; Wang, Ruodu; Zitikis, Ričardas - In: Journal of banking & finance 83 (2017), pp. 70-84

Persistent link: https://www.econbiz.de/10011816823

Ordering and inequalities for mixtures on risk aggregation

Chen, Yuyu; Liu, Peng; Liu, Yang; Wang, Ruodu - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 421-451

Persistent link: https://www.econbiz.de/10012815980

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

CreditRisk+ model with dependent risk factors

Wang, Ruodu; Peng, Liang; Yang, Jingping - In: North American actuarial journal 19 (2015) 1, pp. 24-40

Persistent link: https://www.econbiz.de/10011420714

Joint mixability

Wang, Bin; Wang, Ruodu - In: Mathematics of operations research 41 (2016) 3, pp. 808-826

Persistent link: https://www.econbiz.de/10011520575

Weak comonotonicity

Wang, Ruodu; Zitikis, Ričardas - In: European journal of operational research : EJOR 282 (2020) 1, pp. 386-397

Persistent link: https://www.econbiz.de/10012157705

Convex risk functionals : representation and applications

Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu - In: Insurance / Mathematics & economics 90 (2020), pp. 66-79

Persistent link: https://www.econbiz.de/10012169500

Dual utilities on risk aggregation under dependence uncertainty

Wang, Ruodu; Xu, Zuo Quan; Zhou, Xun Yu - In: Finance and stochastics 23 (2019) 4, pp. 1025-1048

Persistent link: https://www.econbiz.de/10012114687

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 - 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