4 papers
Complex risk statistics with scenario analysis
Fei Sun, Yichuan Dong
Complex risk is a critical factor for both intelligent systems and risk management. In this paper, we consider a special class of risk statistics, named complex risk statistics. Ou…
Regulator-based risk statistics with scenario analysis
Xiaochuan Deng, Fei Sun
As regulators pay more attentions to losses rather than gains, we are able to derive a new class of risk statistics, named regulator-based risk statistics with scenario analysis in…
Regulator-based risk statistics for portfolios
Xiaochuan Deng, Fei Sun
Risk statistic is a critical factor not only for risk analysis but also for financial application. However, the traditional risk statistics may fail to describe the characteristics…
Quasiconvex risk measures with markets volatility
Fei Sun, Yijun Hu
Since the quasiconvex risk measures is a bigger class than the well known convex risk measures, the study of quasiconvex risk measures makes sense especially in the financial marke…