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q-fin.RM2024
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…
q-fin.RM2020
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…