Coherent risk measure

Results: 54



#Item
11How superadditive can a risk measure be? Ruodu Wang⇤, Valeria Bignozzi† and Andreas Tsanakas‡ March 13, 2015§ Abstract In this paper, we study the extent to which any risk measure can lead to superadditive risk

How superadditive can a risk measure be? Ruodu Wang⇤, Valeria Bignozzi† and Andreas Tsanakas‡ March 13, 2015§ Abstract In this paper, we study the extent to which any risk measure can lead to superadditive risk

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Source URL: sas.uwaterloo.ca

Language: English - Date: 2015-04-12 08:10:33
12Risk Aggregation with Dependence Uncertainty Carole Bernard∗, Xiao Jiang† and Ruodu Wang‡ November 2013§ Abstract Risk aggregation with dependence uncertainty refers to the sum of individual risks with

Risk Aggregation with Dependence Uncertainty Carole Bernard∗, Xiao Jiang† and Ruodu Wang‡ November 2013§ Abstract Risk aggregation with dependence uncertainty refers to the sum of individual risks with

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Source URL: sas.uwaterloo.ca

Language: English - Date: 2016-03-25 06:23:06
13Preprint manuscript No. (will be inserted by the editor) Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures Paul Embrechts · Bin Wang · Ruodu Wang

Preprint manuscript No. (will be inserted by the editor) Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures Paul Embrechts · Bin Wang · Ruodu Wang

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Source URL: sas.uwaterloo.ca

Language: English - Date: 2014-09-24 23:39:51
14Risk Aversion in Risk Measures and Risk Sharing Tiantian Mao∗ and Ruodu Wang† September 26, 2015 Abstract In this paper, we put a notion of risk aversion into the context of monetary risk measures, the standard

Risk Aversion in Risk Measures and Risk Sharing Tiantian Mao∗ and Ruodu Wang† September 26, 2015 Abstract In this paper, we put a notion of risk aversion into the context of monetary risk measures, the standard

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Source URL: sas.uwaterloo.ca

Language: English - Date: 2015-09-26 13:55:08
15VaR and ES Holy Triangle How Superadditive Can It Be?

VaR and ES Holy Triangle How Superadditive Can It Be?

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Source URL: sas.uwaterloo.ca

Language: English - Date: 2014-05-11 08:05:16
16General Convex Order on Risk Aggregation Edgars Jakobsons∗, Xiaoying Han† and Ruodu Wang‡ January 19, 2015 Abstract Using a general notion of convex order, we derive general lower bounds for risk measures of aggreg

General Convex Order on Risk Aggregation Edgars Jakobsons∗, Xiaoying Han† and Ruodu Wang‡ January 19, 2015 Abstract Using a general notion of convex order, we derive general lower bounds for risk measures of aggreg

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Source URL: sas.uwaterloo.ca

Language: English - Date: 2015-01-19 14:25:53
17Elicitable distortion risk measures: a concise proof Ruodu Wang∗ and Johanna F. Ziegel† February 4, 2015 Abstract Elicitability has recently been discussed as a desirable property for risk

Elicitable distortion risk measures: a concise proof Ruodu Wang∗ and Johanna F. Ziegel† February 4, 2015 Abstract Elicitability has recently been discussed as a desirable property for risk

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Source URL: sas.uwaterloo.ca

Language: English - Date: 2015-02-04 11:36:05
18Distortion Risk Measures in Action Hideatsu Tsukahara () Department of Economics, Seijo University Abstract The notion of risk measure is indispensable for financial risk management. Although

Distortion Risk Measures in Action Hideatsu Tsukahara () Department of Economics, Seijo University Abstract The notion of risk measure is indispensable for financial risk management. Although

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Source URL: ies.keio.ac.jp

Language: English - Date: 2015-05-20 10:29:52
19On Risk Measures, Market Making, and Exponential Families JACOB D. ABERNETHY University of Michigan and RAFAEL M. FRONGILLO

On Risk Measures, Market Making, and Exponential Families JACOB D. ABERNETHY University of Michigan and RAFAEL M. FRONGILLO

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Source URL: www.sigecom.org

Language: English - Date: 2014-12-16 17:33:22
20Risk Orders, Risk Measures and Risk Acceptance Families Robust Representation Illustrative Setting Risk Preferences and their Robust Representation Michael Kupper (joint work with Samuel Drapeau)

Risk Orders, Risk Measures and Risk Acceptance Families Robust Representation Illustrative Setting Risk Preferences and their Robust Representation Michael Kupper (joint work with Samuel Drapeau)

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-20 15:11:51