1 citations · 1 across the 4 of their papers we have counts for
4 papers
On data-driven robust distortion risk measures for non-negative risks with partial information
Xiangyu Han, Yijun Hu, Ran Wang +1
In this paper, by proposing two new kinds of distributional uncertainty sets, we explore robustness of distortion risk measures against distributional uncertainty. To be precise, w…
On evaluation of joint risk for non-negative multivariate risks under dependence uncertainty
Shuo Gong, Yijun Hu, Linxiao Wei
In this paper, we propose a novel axiomatic approach to evaluating the joint risk of multiple insurance risks under dependence uncertainty. Motivated by both the theory of expected…
On conditional distortion risk measures under uncertainty
Shuo Gong, Yijun Hu, Linxiao Wei
Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation,…
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…