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q-fin.RM2021★ 3 cited
Cash-subadditive risk measures without quasi-convexity
Xia Han, Qiuqi Wang, Ruodu Wang +1
In the literature on risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable…
econ.TH2021
Risk measures induced by efficient insurance contracts
Qiuqi Wang, Ruodu Wang, Ricardas Zitikis
The Expected Shortfall (ES) is one of the most important regulatory risk measures in finance, insurance, and statistics, which has recently been characterized via sets of axioms fr…