4 citations · 9 across the 6 of their papers we have counts for
7 papers
A unified decision model for Bayesian ambiguity and non-affine statistics
Zachary Van Oosten, Ruodu Wang
This paper studies decision functionals under ambiguity when pure-risk evaluation is determined by a general, possibly non-affine statistic. We represent ambiguity perception by a…
Disappointment concordance and duet expectiles
Fabio Bellini, Tiantian Mao, Ruodu Wang +1
We introduce an axiom of disappointment-concordance (disco) aversion for a preference relation over acts in an Anscombe-Aumann setting. This axiom means that the decision maker, fa…
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…
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)…
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…
An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
Yuyu Chen, Paul Embrechts, Ruodu Wang
We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such ra…
True and false discoveries with independent and sequential e-values
Vladimir Vovk, Ruodu Wang
In this paper we use e-values in the context of multiple hypothesis testing assuming that the base tests produce independent, or sequential, e-values. Our simulation and empirical…