6 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-…
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…
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…
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…
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…