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~person:"Wang, Ruodu"
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Extreme loss risk in financial...
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Risikomaß
45
Risk measure
45
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36
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36
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27
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risk sharing
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Wang, Ruodu
McAleer, Michael
200
Gleißner, Werner
94
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82
Dionne, Georges
81
Caporale, Guglielmo Maria
76
Härdle, Wolfgang
76
Hammoudeh, Shawkat
75
Schuermann, Til
75
Broll, Udo
70
Romeike, Frank
64
Chang, Chia-Lin
60
Ivanov, Dmitry
60
Vries, Casper G. de
60
Allen, David E.
59
Gupta, Rangan
56
Stulz, René M.
55
Bernanke, Ben S.
54
Gatzert, Nadine
54
Daníelsson, Jón
53
Dowd, Kevin
53
Asʿad, Rāǧī
50
Bies, Susan Schmidt
48
Cotter, John
48
Nguyen, Duc Khuong
46
Albrecht, Peter
45
Eller, Roland
43
Embrechts, Paul
43
Bartram, Söhnke M.
41
Acharya, Viral V.
40
Diebold, Francis X.
40
Kunreuther, Howard
40
Lucas, André
40
Zaki, Chahir
40
Guegan, Dominique
39
Saunders, Anthony
39
Račev, Svetlozar T.
38
Chorafas, Dimitris N.
37
Eling, Martin
37
Stoja, Evarist
37
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Insurance / Mathematics & economics
7
Finance and stochastics
4
Mathematics of operations research
4
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Operations research
3
Research paper series / Swiss Finance Institute
3
Journal of banking & finance
2
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1
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1
A theory for measures of tail risk
Liu, Fangda
;
Wang, Ruodu
- In:
Mathematics of operations research
46
(
2021
)
3
,
pp. 1109-1128
Persistent link: https://www.econbiz.de/10012625694
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
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