From the 1 of 5 linked papers with an AI index.
5 papers
A Noise-Robust Elicit-to-Optimize Framework for Distortion Riskmetrics via Inverse Reinforcement Learning
Yang Liu, Yuhao Liu, Yunran Wei
The paper introduces a noise‑robust framework that combines inverse reinforcement learning to infer agents' risk preferences and reinforcement learning to optimize policies for a w…
Weighted Generalized Risk Measure and Risk Quadrangle: Characterization, Optimization and Application
Yang Liu, Yunran Wei, Xintao Ye
Various financial market scenarios may cause heterogeneous risk assessments among analysts, which motivates the usage of the Generalized Risk Measure in Fadina et al. (2024, Financ…
Risk sharing with Lambda value at risk under heterogeneous beliefs
Peng Liu, Andreas Tsanakas, Yunran Wei
In this paper, we study the risk sharing problem among multiple agents using Lambda Value-at-Risk as their preference functional, under heterogeneous beliefs, where beliefs are rep…
Periodic evaluation of defined-contribution pension fund: A dynamic risk measure approach
Wanting He, Wenyuan Li, Yunran Wei
This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retire…
On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market
Tong Pu, Yunran Wei, Yiying Zhang
We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the "tail risk" of a risky position in scenarios where one o…