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Risk Measures Induced by Efficient Insurance Contracts

Wang, Qiuqi; Wang, Ruodu; Zitikis, Ricardas - 2021

The Expected Shortfall (ES) is one of the most important regulatory risk measures in finance, insurance, and statistics …, which has recently been characterized via sets of axioms from perspectives of portfolio risk management and statistics … the special role of ES in insurance and actuarial science. To fill this gap, we study characterization of risk measures …

Persistent link: https://www.econbiz.de/10013210827

Trade-off between validity and efficiency of merging p-values under arbitrary dependence

Chen, Yuyu - 2020

realistic but unjustifiable, dependence structures. The trade-off between validity and efficiency of these methods is studied …

Persistent link: https://www.econbiz.de/10012837815

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 regulatory risk measures, as special cases. We first establish an inequality for …

Persistent link: https://www.econbiz.de/10011874813