Similar Search Results

Narrow search

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

Is the inf-convolution of law-invariant preferences law-invariant?

Liu, Peng; Wang, Ruodu; Wei, Linxiao - In: Insurance / Mathematics & economics 91 (2020), pp. 144-154

Persistent link: https://www.econbiz.de/10012241998

Asymptotic equivalence of risk measures under dependence uncertainty

Cai, Jun; Liu, Haiyan; Wang, Ruodu - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 29-49

Persistent link: https://www.econbiz.de/10011969153

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

Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory

Mao, Tiantian; Wang, Ruodu - In: Journal of mathematical economics 103 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10014230385

On convex risk measures on Lp-spaces

Kaina, M.; Rüschendorf, Ludger - In: Mathematical methods of operations research 69 (2009) 3, pp. 475-495

Persistent link: https://www.econbiz.de/10003858273

Risk Functionals With Convex Level Sets

Wang, Ruodu - 2020

We analyze the ``convex level sets" (CxLS) property of risk functionals, which is a necessary condition for the notions of elicitability, identifiability and backtestability, popular in the recent statistics and risk management literature. We put the CxLS property in the multi-dimensional...

Persistent link: https://www.econbiz.de/10012850765