25 citations · 27 across the 6 of their papers we have counts for
6 papers
Risk diversification for infinitely divisible distributions
Peng Liu, Tiantian Mao
In this paper, we study the diversification properties of convex combinations of iid random variables with infinitely divisible distributions. We characterize, in terms of subaddit…
Quantiles under ambiguity and risk sharing
Peng Liu, Tiantian Mao, Ruodu Wang
Choquet capacities and integrals are central concepts in decision making under ambiguity or model uncertainty, pioneered by Schmeidler. Motivated by risk optimization problems for…
A duality between utility transforms and probability distortions
Christopher P. Chambers, Peng Liu, Ruodu Wang
In this paper, we establish a mathematical duality between utility transforms and probability distortions. These transforms play a central role in decision under risk by forming th…
MPSN: Motion-aware Pseudo Siamese Network for Indoor Video Head Detection in Buildings
Kailai Sun, Xiaoteng Ma, Peng Liu +1
Head detection in the indoor video is an essential component of building occupancy detection. While deep models have achieved remarkable progress in general object detection, they…
Trade-off between validity and efficiency of merging p-values under arbitrary dependence
Yuyu Chen, Peng Liu, Ken Seng Tan +1
Various methods of combining individual p-values into one p-value are widely used in many areas of statistical applications. We say that a combining method is valid for arbitrary d…
Ordering and Inequalities for Mixtures on Risk Aggregation
Yuyu Chen, Peng Liu, Yang Liu +1
Aggregation sets, which represent model uncertainty due to unknown dependence, are an important object in the study of robust risk aggregation. In this paper, we investigate orderi…