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q-fin.RM2022★ 1 cited
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…
math.ST2022★ 1 cited
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…
q-fin.RM2022
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…