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q-fin.RM2023
Monotonic mean-deviation risk measures
Xia Han, Ruodu Wang, Qinyu Wu
Mean-deviation models, along with the existing theory of coherent risk measures, are well studied in the literature. In this paper, we characterize monotonic mean-deviation (risk)…
econ.TH2023
Risk Aversion and Insurance Propensity
Fabio Maccheroni, Massimo Marinacci, Ruodu Wang +1
We provide a new foundation of risk aversion by showing that this attitude is fully captured by the propensity to seize insurance opportunities. Our foundation, which applies to al…
q-fin.MF2023
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…