1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.RM2025
On data-driven robust distortion risk measures for non-negative risks with partial information
Xiangyu Han, Yijun Hu, Ran Wang +1
In this paper, by proposing two new kinds of distributional uncertainty sets, we explore robustness of distortion risk measures against distributional uncertainty. To be precise, w…
q-fin.ST2024★ 1 cited
Elicitability and identifiability of tail risk measures
Tobias Fissler, Fangda Liu, Ruodu Wang +1
Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at…
q-fin.RM2022
On evaluation of joint risk for non-negative multivariate risks under dependence uncertainty
Shuo Gong, Yijun Hu, Linxiao Wei
In this paper, we propose a novel axiomatic approach to evaluating the joint risk of multiple insurance risks under dependence uncertainty. Motivated by both the theory of expected…