18 citations · 20 across the 11 of their papers we have counts for
Showing q-fin.RMShow all
3 papers · 1 filter
q-fin.RM2025
Robust distortion risk metrics with Wasserstein and Unimodal Constraints
Peng Liu, Steven Vanduffel, Yi Xia +1
We establish sharp upper and lower bounds for distortion risk metrics under distributional uncertainty. The uncertainty sets are characterized by four key features of the underlyin…
q-fin.RM2025
Lambda Value-at-Risk under ambiguity and risk sharing
Peng Liu, Alexander Schied
In this paper, we investigate the Lambda Value-at-Risk (VaR) under ambiguity, where the ambiguity is represented by a family of probability measures. We establish that for incre…
q-fin.RM2024★ 2 cited
Risk sharing with Lambda value at risk under heterogeneous beliefs
Peng Liu, Andreas Tsanakas, Yunran Wei
In this paper, we study the risk sharing problem among multiple agents using Lambda Value-at-Risk as their preference functional, under heterogeneous beliefs, where beliefs are rep…