12 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…
Conformal e-prediction in the presence of confounding
Vladimir Vovk, Ruodu Wang
This note extends conformal e-prediction to cover the case where there is observed confounding between the random object and its label . We consider both the case where the…
Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measures
Mario Ghossoub, Qinghua Ren, Ruodu Wang
We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk…
Allocation Mechanisms in Decentralized Exchange Markets with Frictions
Mario Ghossoub, Giulio Principi, Ruodu Wang
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the…
Optimal allocations with distortion risk measures and mixed risk attitudes
Mario Ghossoub, Qinghua Ren, Ruodu Wang
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonoton…
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…