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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

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

Risk bounds for factor models

Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659

Persistent link: https://www.econbiz.de/10011944414

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

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

Extreme negative dependence and risk aggregation

Wang, Bin; Wang, Ruodu - In: Journal of Multivariate Analysis 136 (2015) C, pp. 12-25

We introduce the concept of an extremely negatively dependent (END) sequence of random variables with a given common marginal distribution. An END sequence has a partial sum which, subtracted by its mean, does not diverge as the number of random variables goes to infinity. We show that an END...

Persistent link: https://www.econbiz.de/10011208475