Similar Search Results

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

An axiomatic foundation for the expected shortfall

Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429

Persistent link: https://www.econbiz.de/10012505987

Optimal insurance to maximize RDEU under a distortion-deviation premium principle

Liang, Xiaoqing; Wang, Ruodu; Young, Virginia R. - In: Insurance / Mathematics & economics 104 (2022), pp. 35-59

Persistent link: https://www.econbiz.de/10013264935

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

Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities

Wang, Ruodu; Peng, Liang; Yang, Jingping - In: Finance and stochastics 17 (2013) 2, pp. 395-417

Persistent link: https://www.econbiz.de/10009730805

Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates

Puccetti, Giovanni; Wang, Bin; Wang, Ruodu - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 821-828

Persistent link: https://www.econbiz.de/10010227817

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

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

Worst-Case Range Value-at-Risk with Partial Information

Li, Lujun - 2017

In this paper, we study the worst-case scenarios of a general class of risk measures, the Range Value-at-Risk (RVaR), in single and aggregate risk models with given mean and variance, as well as symmetry and/or unimodality of each risk. For different types of partial information settings, sharp...

Persistent link: https://www.econbiz.de/10012962736