6 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…
Set-valued risk statistics with the time value of money
Fei Sun, Xiaozhi Fan, Weitao Liu
The time value of money is a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special class of set-valued r…
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…
Dynamic risk measures for fluctuations in market volatility under Bochner-Lebesgue spaces
Fei Sun, Jingchao Li, Jieming Zhou
Starting from the global financial crisis to the more recent disruptions brought about by geopolitical tensions and public health crises, the volatility of risk in financial market…