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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…
econ.TH2022★ 1 cited
On conditional distortion risk measures under uncertainty
Shuo Gong, Yijun Hu, Linxiao Wei
Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation,…