Ruodu Wang: search on Z-Library

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1

Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks

Furman, Edward, Wang, Ruodu, Zitikis, Ričardas

Journal:

Journal of Banking & Finance

Year:

2017

Language:

english

File:

PDF, 1.05 MB

english, 2017

2

Characterization, Robustness, and Aggregation of Signed Choquet Integrals

Wang, Ruodu, Wei, Yunran, Willmot, Gordon E.

Journal:

Mathematics of Operations Research

Year:

2020

File:

PDF, 815 KB

2020

3

How Superadditive Can a Risk Measure Be?

Wang, Ruodu, Bignozzi, Valeria, Tsanakas, Andreas

Journal:

SIAM Journal on Financial Mathematics

Year:

2015

Language:

english

File:

PDF, 304 KB

english, 2015

4

Regulatory arbitrage of risk measures

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 581 KB

english, 2016

5

Joint Mixability

Wang, Bin, Wang, Ruodu

Journal:

Mathematics of Operations Research

Year:

2016

Language:

english

File:

PDF, 324 KB

english, 2016

6

COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY

Liu, Haiyan, Wang, Ruodu

Journal:

Year:

2017

Language:

english

File:

PDF, 237 KB

english, 2017

7

Worst-Case Range Value-at-Risk with Partial Information

Li, Lujun, Shao, Hui, Wang, Ruodu, Yang, Jingping

Journal:

SIAM Journal on Financial Mathematics

Year:

2018

Language:

english

File:

PDF, 520 KB

english, 2018

8

Quantile-Based Risk Sharing

Embrechts, Paul, Liu, Haiyan, Wang, Ruodu

Journal:

Operations Research

Year:

2018

Language:

english

File:

PDF, 428 KB

english, 2018

9

An Axiomatic Foundation for the Expected Shortfall

Wang, Ruodu, Zitikis, RiÄardas

Journal:

Management Science

Year:

2020

File:

PDF, 873 KB

2020

10

Risk aggregation with dependence uncertainty

Bernard, Carole, Jiang, Xiao, Wang, Ruodu

Journal:

Insurance: Mathematics and Economics

Year:

2014

Language:

english

File:

PDF, 2.25 MB

english, 2014

11

Elicitable distortion risk measures: A concise proof

Wang, Ruodu, Ziegel, Johanna F.

Journal:

Statistics & Probability Letters

Year:

2015

Language:

english

File:

PDF, 223 KB

english, 2015

12

General convex order on risk aggregation

Jakobsons, Edgars, Han, Xiaoying, Wang, Ruodu

Journal:

Scandinavian Actuarial Journal

Year:

2015

Language:

english

File:

PDF, 589 KB

english, 2015

13

Extremal Dependence Concepts

Puccetti, Giovanni, Wang, Ruodu

Journal:

Statistical Science

Year:

2015

Language:

english

File:

PDF, 1.32 MB

english, 2015

14

Quantile-based risk sharing with heterogeneous beliefs

Embrechts, Paul, Liu, Haiyan, Mao, Tiantian, Wang, Ruodu

Journal:

Mathematical Programming

Year:

2018

Language:

english

File:

PDF, 593 KB

english, 2018

15

Distributional compatibility for change of measures

Shen, Jie, Shen, Yi, Wang, Bin, Wang, Ruodu

Journal:

Finance and Stochastics

Year:

2019

Language:

english

File:

PDF, 970 KB

english, 2019

16

Sums of standard uniform random variables

Mao, Tiantian, Wang, Bin, Wang, Ruodu

Journal:

Journal of Applied Probability

Year:

2019

Language:

english

File:

PDF, 230 KB

english, 2019

17

Risk Aversion in Regulatory Capital Principles

Mao, Tiantian, Wang, Ruodu

Journal:

SIAM Journal on Financial Mathematics

Year:

2020

Language:

english

File:

PDF, 525 KB

english, 2020

18

A class of multivariate copulas with bivariate Fréchet marginal copulas

Jingping Yang, Yongcheng Qi, Ruodu Wang

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 1.89 MB

english, 2009

19

The complete mixability and convex minimization problems with monotone marginal densities

Bin Wang, Ruodu Wang

Journal:

Journal of Multivariate Analysis

Year:

2011

Language:

english

File:

PDF, 1.09 MB

english, 2011

20

Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates

Puccetti, Giovanni, Wang, Bin, Wang, Ruodu

Journal:

Insurance: Mathematics and Economics

Year:

2013

Language:

english

File:

PDF, 455 KB

english, 2013

21

Detecting complete and joint mixability

Puccetti, Giovanni, Wang, Ruodu

Journal:

Journal of Computational and Applied Mathematics

Year:

2015

Language:

english

File:

PDF, 550 KB

english, 2015

22

ADVANCES IN COMPLETE MIXABILITY

GIOVANNI PUCCETTI, BIN WANG and RUODU WANG

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 772 KB

english, 2012

23

Asymptotic Bounds for the Distribution of the Sum of Dependent Random Variables

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 159 KB

english, 2014

24

Tests for covariance matrix with fixed or divergent dimension

Zhang, Rongmao, Peng, Liang, Wang, Ruodu

Journal:

The Annals of Statistics

Year:

2013

Language:

english

File:

PDF, 232 KB

english, 2013

25

ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY

Cai, Jun, Liu, Haiyan, Wang, Ruodu

Journal:

Mathematical Finance

Year:

2016

Language:

english

File:

PDF, 276 KB

english, 2016

26

Pareto-optimal reinsurance arrangements under general model settings

Cai, Jun, Liu, Haiyan, Wang, Ruodu

Journal:

Insurance: Mathematics and Economics

Year:

2017

Language:

english

File:

PDF, 318 KB

english, 2017

27

An Academic Response to Basel 3.5

Embrechts, Paul, Puccetti, Giovanni, Rüschendorf, Ludger, Wang, Ruodu, Beleraj, Antonela

Journal:

Year:

2014

Language:

english

File:

PDF, 375 KB

english, 2014

28

Regulatory Arbitrage of Risk Measures

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 169 KB

english, 2014

29

Robustness in the Optimization of Risk Measures

Embrechts, Paul, Schied, Alexander, Wang, Ruodu

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 564 KB

english, 2018

30

An efficient approach to quantile capital allocation and sensitivity analysis

Asimit, Vali, Peng, Liang, Wang, Ruodu, Yu, Alex

Journal:

Mathematical Finance

Year:

2019

Language:

english

File:

PDF, 498 KB

english, 2019

31

Dual utilities on risk aggregation under dependence uncertainty

Wang, Ruodu, Xu, Zuo Quan, Zhou, Xun Yu

Journal:

Finance and Stochastics

Year:

2019

Language:

english

File:

PDF, 918 KB

english, 2019

32

Is the inf-convolution of law-invariant preferences law-invariant?

Liu, Peng, Wang, Ruodu, Wei, Linxiao

Journal:

Insurance: Mathematics and Economics

Year:

2020

File:

PDF, 533 KB

2020

33

Jackknife empirical likelihood method for some risk measures and related quantities

Liang Peng, Yongcheng Qi, Ruodu Wang, Jingping Yang

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 263 KB

english, 2012

34

Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities

Wang, Ruodu, Peng, Liang, Yang, Jingping

Journal:

Finance and Stochastics

Year:

2013

Language:

english

File:

PDF, 833 KB

english, 2013

35

Jackknife empirical likelihood for parametric copulas

Wang, Ruodu, Peng, Liang, Yang, Jingping

Journal:

Scandinavian Actuarial Journal

Year:

2013

Language:

english

File:

PDF, 381 KB

english, 2013

36

Empirical likelihood test for high dimensional linear models

Peng, Liang, Qi, Yongcheng, Wang, Ruodu

Journal:

Statistics & Probability Letters

Year:

2014

Language:

english

File:

PDF, 373 KB

english, 2014

37

Jackknife Empirical Likelihood Intervals for Spearman’s Rho

Wang, Ruodu, Peng, Liang

Journal:

North American Actuarial Journal

Year:

2011

Language:

english

File:

PDF, 252 KB

english, 2011

38

Extreme negative dependence and risk aggregation

Wang, Bin, Wang, Ruodu

Journal:

Journal of Multivariate Analysis

Year:

2015

Language:

english

File:

PDF, 340 KB

english, 2015

39

COMPOSITE BERNSTEIN COPULAS

Yang, Jingping, Chen, Zhijin, Wang, Fang, Wang, Ruodu

Journal:

Year:

2015

Language:

english

File:

PDF, 358 KB

english, 2015

40

On aggregation sets and lower-convex sets

Mao, Tiantian, Wang, Ruodu

Journal:

Journal of Multivariate Analysis

Year:

2015

Language:

english

File:

PDF, 440 KB

english, 2015

41

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul, Wang, Bin, Wang, Ruodu

Journal:

Finance and Stochastics

Year:

2015

Language:

english

File:

PDF, 1.30 MB

english, 2015

42

CreditRisk + Model with Dependent Risk Factors

Wang, Ruodu, Peng, Liang, Yang, Jingping

Journal:

North American Actuarial Journal

Year:

2015

Language:

english

File:

PDF, 471 KB

english, 2015

43

Diversification limit of quantiles under dependence uncertainty

Bignozzi, Valeria, Mao, Tiantian, Wang, Bin, Wang, Ruodu

Journal:

Year:

2016

Language:

english

File:

PDF, 696 KB

english, 2016

44

Asymptotic Bounds for the Distribution of the Sum of Dependent Random Variables

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 159 KB

english, 2014

45

Advances in Complete Mixability

Puccetti, Giovanni, Wang, Bin, Wang, Ruodu

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 113 KB

english, 2012

46

Computation of credit portfolio loss distribution by a cross entropy method

Han, Xiaoying, Wang, Ruodu

Journal:

Journal of Applied Mathematics and Computing

Year:

2016

Language:

english

File:

PDF, 646 KB

english, 2016

47

Seven Proofs for the Subadditivity of Expected Shortfall

Embrechts, Paul, Wang, Ruodu

Journal:

Dependence Modeling

Year:

2015

Language:

english

File:

PDF, 494 KB

english, 2015

48

Sum of arbitrarily dependent random variables

Journal:

Electronic Journal of Probability

Year:

2014

Language:

english

File:

PDF, 257 KB

english, 2014

49

Asymptotic bounds for the distribution of the sum of dependent random variables

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 179 KB

english, 2014

50

Bernoulli and tail-dependence compatibility

Embrechts, Paul, Hofert, Marius, Wang, Ruodu

Journal:

The Annals of Applied Probability

Year:

2016

Language:

english

File:

PDF, 929 KB

english, 2016