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CreditRisk+ model with dependent risk factors
Wang, Ruodu; Peng, Liang; Yang, Jingping - In: North American actuarial journal 19 (2015) 1, pp. 24-40
Persistent link: https://www.econbiz.de/10011420714
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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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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
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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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Robustness in the optimization of risk measures
Embrechts, Paul; Schied, Alexander; Wang, Ruodu - In: Operations research 70 (2022) 1, pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
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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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Dependence and Risk Attitudes : An Equivalence
Wang, Ruodu; Wu, Qinyu - 2021
Suppose that a decision maker faces a random outcome which is the sum of several risky components. If she is indifferent to the dependence structure of the risky components, then we say that she (or her preference) is dependence neutral. Obviously, if the decision maker is risk neutral, i.e.,...
Persistent link: https://www.econbiz.de/10013224469
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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