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Quantitative statistical robustness for tail-dependent law invariant risk measures

Wang, Wei; Xu, Huifu; Ma, Tiejun - In: Quantitative finance 21 (2021) 10, pp. 1669-1685

Persistent link: https://www.econbiz.de/10012653706

Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

Wang, Wei; Xu, Huifu; Ma, Tiejun - In: European journal of operational research : EJOR 306 (2023) 1, pp. 322-347

Persistent link: https://www.econbiz.de/10014278005

Preference robust distortion risk measure and its application

Wang, Wei; Xu, Huifu - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 389-434

Persistent link: https://www.econbiz.de/10014278678

Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making

Wang, Wei; Xu, Huifu - In: Computational management science 20 (2023) 1, pp. 1-51

Persistent link: https://www.econbiz.de/10014393426

Preference Robust Distortion Risk Measure and Its Application

Wang, Wei; Xu, Huifu - 2021

Distortion risk measure (DRM) plays a crucial role in risk measuring and managing, especially in insurance pricing. Various DRMs have been introduced but little is discussed about which DRM at hand should be chosen to address a decision maker (DM)'s risk attitude. This paper aims to fill out the...

Persistent link: https://www.econbiz.de/10013240785