5 citations · 10 across the 8 of their papers we have counts for
8 papers
Pricing rides as option contracts: guarantees and memberships under travel-time uncertainty
Mohamad Elmasri, Mingze Li, Yunran Wei
Modern ride-share platforms must commit to a price before a trip is taken, yet the realized fare depends on travel time that is uncertain at the moment of sale, which can occur day…
A Noise-Robust Elicit-to-Optimize Framework for Distortion Riskmetrics via Inverse Reinforcement Learning
Yang Liu, Yuhao Liu, Yunran Wei
We propose a noise-robust elicit-to-optimize framework that integrates inverse reinforcement learning (IRL) and reinforcement learning (RL) for eliciting agents' risk preferences a…
Weighted Generalized Risk Measure and Risk Quadrangle: Characterization, Optimization and Application
Yang Liu, Yunran Wei, Xintao Ye
Various financial market scenarios may cause heterogeneous risk assessments among analysts, which motivates the usage of the Generalized Risk Measure in Fadina et al. (2024, Financ…
Periodic evaluation of defined-contribution pension fund: A dynamic risk measure approach
Wanting He, Wenyuan Li, Yunran Wei
This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retire…
On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market
Tong Pu, Yunran Wei, Yiying Zhang
We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the "tail risk" of a risky position in scenarios where one o…
Risk sharing with Lambda value at risk under heterogeneous beliefs
Peng Liu, Andreas Tsanakas, Yunran Wei
In this paper, we study the risk sharing problem among multiple agents using Lambda Value-at-Risk as their preference functional, under heterogeneous beliefs, where beliefs are rep…
Assessing the difference between integrated quantiles and integrated cumulative distribution functions
Yunran Wei, Ricardas Zitikis
This paper offers a mathematical invention that shows how to convert integrated quantiles, which often appear in risk measures, into integrated cumulative distribution functions, w…
Parametric measures of variability induced by risk measures
Fabio Bellini, Tolulope Fadina, Ruodu Wang +1
We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfa…