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q-fin.RM2026
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…
math.ST2026
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…