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Liu, Fangda; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 3, pp. 1109-1128

Persistent link: https://www.econbiz.de/10012625694

Inf-convolution, optimal allocations, and model uncertainty for tail risk measures

Liu, Fangda; Mao, Tiantian; Wang, Ruodu; Wei, Linxiao - In: Mathematics of operations research 47 (2022) 3, pp. 2494-2519

Persistent link: https://www.econbiz.de/10013375081

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

Risk aggregation with dependence uncertainty

Bernhard, Carole; Jiang, Xiao; Wang, Ruodu - In: Insurance / Mathematics & economics 54 (2014), pp. 93-108

Persistent link: https://www.econbiz.de/10010259666

An academic response to Basel 3.5

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

-at-Risk (VaR)-aggregation of risks. In this article, we highlight some of the underlying issues, both methodologically, as well as …

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

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

Bayes Risk, Elicitability, and the Expected Shortfall

Embrechts, Paul; Mao, Tiantian; Wang, Qiuqi; Wang, Ruodu - 2021

Motivated by recent advances on elicitability of risk measures and practical considerations of risk optimization, we introduce the notions of Bayes pairs and Bayes risk measures. Bayes risk measures are the counterpart of elicitable risk measures, extensively studied in the recent literature....

Persistent link: https://www.econbiz.de/10013232680

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

Scenario-based risk evaluation

Wang, Ruodu; Ziegel, Johanna F. - In: Finance and stochastics 25 (2021) 4, pp. 725-756

Persistent link: https://www.econbiz.de/10012665201