4 papers
Distributionally Robust Reinsurance under Robust Optimized Certainty Equivalent Risk Measure
Xinqiao Xie, Taizhong Hu, Tiantian Mao
In this paper, we introduce a class of preference robust risk measures-\emph{robust optimized certainty equivalents} (ROCE)-which encompasses several widely used measures, includin…
Moment inequalities for higher-order (inverse) stochastic dominance
Meng Guan, Zhenfeng Zou, Taizhong Hu
Stochastic dominance has been studied extensively, particularly in the finance and economics literature. In this paper, we obtain two results. First, necessary conditions for highe…
Further Developments on Stochastic Dominance for Convex Combinations of Infinite-Mean Random Variables
Keyi Zeng, Zhenfeng Zou, Yuting Su +1
In recent years, stochastic dominance for independent and identically distributed (iid) infinite-mean random variables has received considerable attention. The literature has ident…
Extreme-case Range Value-at-Risk under Increasing Failure Rate
Yuting Su, Taizhong Hu, Zhenfeng Zou
The extreme cases of risk measures, when considered within the context of distributional ambiguity, provide significant guidance for practitioners specializing in risk management o…