5 citations · 6 across the 15 of their papers we have counts for
4 papers · 1 filter
Higher-order Gini indices: An axiomatic approach
Xia Han, Ruodu Wang, Qinyu Wu
Via an axiomatic approach, we characterize the family of n-th order Gini deviation, defined as the expected range over n independent draws from a distribution, to quantify joint di…
Max- and min-stability under first-order stochastic dominance
Christopher Chambers, Alan Miller, Ruodu Wang +1
Max-stability is the property that taking a maximum between two inputs results in a maximum between two outputs. We study max-stability with respect to first-order stochastic domin…
Conditional generalized quantiles based on expected utility model and equivalent characterization of properties
Qinyu Wu, Fan Yang, Ping Zhang
As a counterpart to the (static) risk measures of generalized quantiles and motivated by Bellini et al. (2018), we propose a new kind of conditional risk measure called conditional…
Risk Concentration and the Mean-Expected Shortfall Criterion
Xia Han, Bin Wang, Ruodu Wang +1
Expected Shortfall (ES, also known as CVaR) is the most important coherent risk measure in finance, insurance, risk management, and engineering. Recently, Wang and Zitikis (2021) p…