1 citations · 4 across the 13 of their papers we have counts for
10 papers · 1 filter
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…
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…
Infinite-mean models in risk management: Discussions and recent advances
Yuyu Chen, Ruodu Wang
In statistical analysis, many classic results require the assumption that models have finite mean or variance, including the most standard versions of the laws of large numbers and…
Counter-monotonic risk allocations and distortion risk measures
Mario Ghossoub, Qinghua Ren, Ruodu Wang
In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has onl…
Sub-uniformity of harmonic mean p-values
Yuyu Chen, Ruodu Wang, Yuming Wang +1
We obtain several inequalities on the generalized means of dependent p-values. In particular, the weighted harmonic mean of p-values is strictly sub-uniform under several dependenc…
Diversification for infinite-mean Pareto models without risk aversion
Yuyu Chen, Taizhong Hu, Ruodu Wang +1
We study stochastic dominance between portfolios of independent and identically distributed (iid) extremely heavy-tailed (i.e., infinite-mean) Pareto random variables. With the not…
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…
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…
Risk exchange under infinite-mean Pareto models
Yuyu Chen, Paul Embrechts, Ruodu Wang
We study the optimal decisions and equilibria of agents who aim to minimize their risks by allocating their positions over extremely heavy-tailed (i.e., infinite-mean) and possibly…
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…