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Model uncertainty and VaR aggregation
Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of banking & finance 37 (2013) 8, pp. 2750-2764
Persistent link: https://www.econbiz.de/10009776377
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Aggregating risk capital, with an application to operational risk
Embrechts, Paul; Puccetti, Giovanni - In: The Geneva risk and insurance review 31 (2006) 2, pp. 71-90
Persistent link: https://www.econbiz.de/10003398777
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Composite Bernstein copulas
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
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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
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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
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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
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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
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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
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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
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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