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Yang, Jingping; Chen, Zhijin; Wang, Fang; Wang, Ruodu - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 445-475

Persistent link: https://www.econbiz.de/10011312277

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

A class of multivariate copulas with bivariate Fréchet marginal copulas

Yang, Jingping; Qi, Yongcheng; Wang, Ruodu - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 139-147

Persistent link: https://www.econbiz.de/10009517588

Distributional transforms, probability distortions, and their applications

Liu, Peng; Schied, Alexander; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 4, pp. 1490-1512

Persistent link: https://www.econbiz.de/10012796660

A theory for measures of tail risk

Liu, Fangda; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 3, pp. 1109-1128

Persistent link: https://www.econbiz.de/10012625694

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

Calibrating distribution models from PELVE

Assa, Hirbod; Lin, Liyuan; Wang, Ruodu - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 2, pp. 373-406

Persistent link: https://www.econbiz.de/10014566481

PELVE : probability equivalent level of VaR and ES

Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370

Persistent link: https://www.econbiz.de/10014364915

Risk concentration and the mean-expected shortfall criterion

Han, Xia; Wang, Bin; Wang, Ruodu; Wu, Qinyu - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 819-846

Persistent link: https://www.econbiz.de/10014565286

A Theory for Measures of Tail Risk

Liu, Fangda - 2020

The notion of "tail risk" has been a crucial consideration in modern risk management. To achieve a comprehensive understanding of the tail risk, we carry out an axiomatic study for risk measures which quantify the tail risk, that is, the behavior of a risk beyond a certain quantile. Such risk...

Persistent link: https://www.econbiz.de/10012855126