1 citations · 5 across the 13 of their papers we have counts for
13 papers
Universal Value-at-Risk superadditivity
Yuyu Chen, Liyuan Lin, Ruodu Wang
Value-at-Risk (VaR) is a standard regulatory risk measure, and its failure of subadditivity is well known. Much less appreciated is that for sufficiently heavy-tailed losses, VaR c…
Empirical estimator of diversification quotient
Xia Han, Liyuan Lin, Mengshi Zhao
The Diversification Quotient (DQ), introduced by Han et al. (2025), is a recently proposed measure of portfolio diversification that quantifies the reduction in a portfolio's risk-…
Diversification quotient based on expectiles
Xia Han, Liyuan Lin, Hao Wang +1
A diversification quotient (DQ) quantifies diversification in stochastic portfolio models based on a family of risk measures. We study DQ based on expectiles, offering a useful alt…
The checkerboard copula and dependence concepts
Liyuan Lin, Ruodu Wang, Ruixun Zhang +1
We study the problem of choosing the copula when the marginal distributions of a random vector are not all continuous. Inspired by four motivating examples including simulation fro…
Optimal risk sharing, equilibria, and welfare with empirically realistic risk attitudes
Jean-Gabriel Lauzier, Liyuan Lin, Peter Wakker +1
This paper examines optimal risk sharing. It brings in empirical realism, reckoning with the risk seeking found empirically. We provide results on Pareto optimality, competitive eq…
Invariant correlation under marginal transforms
Takaaki Koike, Liyuan Lin, Ruodu Wang
A useful property of independent samples is that their correlation remains the same after applying marginal transforms. This invariance property plays a fundamental role in statist…
Pairwise counter-monotonicity
Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang
We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence. A stochastic representation and an invariance property are established for this de…
Risk sharing, measuring variability, and distortion riskmetrics
Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone…
Diversification quotients based on VaR and ES
Xia Han, Liyuan Lin, Ruodu Wang
The diversification quotient (DQ) is recently introduced for quantifying the degree of diversification of a stochastic portfolio model. It has an axiomatic foundation and can be de…
Diversification quotients: Quantifying diversification via risk measures
Xia Han, Liyuan Lin, Ruodu Wang
We establish the first axiomatic theory for diversification indices using six intuitive axioms: non-negativity, location invariance, scale invariance, rationality, normalization, a…
Joint mixability and notions of negative dependence
Takaaki Koike, Liyuan Lin, Ruodu Wang
A joint mix is a random vector with a constant component-wise sum. The dependence structure of a joint mix minimizes some common objectives such as the variance of the component-wi…
Calibrating distribution models from PELVE
Hirbod Assa, Liyuan Lin, Ruodu Wang
The Value-at-Risk (VaR) and the Expected Shortfall (ES) are the two most popular risk measures in banking and insurance regulation. To bridge between the two regulatory risk measur…
Risk Aggregation under Dependence Uncertainty and an Order Constraint
Yuyu Chen, Liyuan Lin, Ruodu Wang
We study the aggregation of two risks when the marginal distributions are known and the dependence structure is unknown, under the additional constraint that one risk is smaller th…