19 citations · 48 across the 8 of their papers we have counts for
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q-fin.RM2026
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…
q-fin.RM2021
A Framework for Measures of Risk under Uncertainty
Tolulope Fadina, Yang Liu, Ruodu Wang
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random vari…
q-fin.RM2020
Ordering and Inequalities for Mixtures on Risk Aggregation
Yuyu Chen, Peng Liu, Yang Liu +1
Aggregation sets, which represent model uncertainty due to unknown dependence, are an important object in the study of robust risk aggregation. In this paper, we investigate orderi…