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Scandinavian Actuarial Journal Volume 2016, 2016 - Issue 8
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Articles

General convex order on risk aggregation

Edgars JakobsonsRiskLab, Department of Mathematics, ETH Zurich, Zurich, Switzerland.
,
Xiaoying HanDepartment of Mathematics and Statistics, Auburn University, Auburn, AL, USA.
&
Ruodu WangDepartment of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada.Correspondence[email protected]
Pages 713-740 | Accepted 22 Jan 2015, Published online: 17 Feb 2015

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G. I. Papayiannis & A. N. Yannacopoulos. (2018) Convex risk measures for the aggregation of multiple information sources and applications in insurance. Scandinavian Actuarial Journal 2018:9, pages 792-822.
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Peng Liu. (2024) Risk Sharing with Lambda Value at Risk. Mathematics of Operations Research.
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Tolulope Fadina, Junlei Hu, Peng Liu & Yi Xia. (2023) Optimal Reinsurance with Multivariate Risks and Dependence Uncertainty. SSRN Electronic Journal.
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Yuyu Chen, Liyuan Lin & Ruodu Wang. (2022) Risk aggregation under dependence uncertainty and an order constraint. Insurance: Mathematics and Economics 102, pages 169-187.
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Vladimir Vovk & Ruodu Wang. (2020) Combining p -values via averaging . Biometrika 107:4, pages 791-808.
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L. Rüschendorf. (2019) Analysis of risk bounds in partially specified additive factor models. Insurance: Mathematics and Economics 86, pages 115-121.
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Haiyan Liu & Ruodu Wang. (2017) COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY. ASTIN Bulletin 47:2, pages 361-389.
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Chuancun Yin & Dan Zhu. (2016) Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof. Risks 4:4, pages 34.
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Valeria Bignozzi, Tiantian Mao, Bin Wang & Ruodu Wang. (2016) Diversification limit of quantiles under dependence uncertainty. Extremes 19:2, pages 143-170.
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Paul Embrechts & Edgars Jakobsons. 2016. The Fascination of Probability, Statistics and their Applications. The Fascination of Probability, Statistics and their Applications 395 417 .
Edgars Jakobsons & Steven Vanduffel. (2015) Dependence Uncertainty Bounds for the Expectile of a Portfolio. Risks 3:4, pages 599-623.
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Ruodu Wang. (2015) Current open questions in complete mixability. Probability Surveys 12:none.
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Xia Han, Liyuan Lin & Ruodu Wang. (2022) Diversification Quotients: Quantifying Diversification via Risk Measures. SSRN Electronic Journal.
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Vladimir Vovk & Ruodu Wang. (2018) Combining P-Values Via Averaging. SSRN Electronic Journal.
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Georgios Papayiannis & Athanasios Yannacopoulos. (2018) Convex Risk Measures for the Aggregation of Multiple Information Sources and Applications in Insurance. SSRN Electronic Journal.
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Haiyan Liu. (2016) Collective Risk Models with Dependence Uncertainty. SSRN Electronic Journal.
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Jun Cai, Haiyan Liu & Ruodu Wang. (2015) Asymptotic Equivalence of Risk Measures Under Dependence Uncertainty. SSRN Electronic Journal.
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Edgars Jakobsons & Steven Vanduffel. (2015) Dependence Uncertainty Bounds for the Expectile of a Portfolio. SSRN Electronic Journal.
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Valeria Bignozzi, Tiantian Mao, Bin Wang & Ruodu Wang. (2015) Diversification Limit of Quantiles Under Dependence Uncertainty. SSRN Electronic Journal.
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Ka Chun Cheung, Michel Denuit & Jan Dhaene. (2015) Tail Mutual Exclusivity and Tail-VaR Lower Bounds. SSRN Electronic Journal.
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Bin Wang & Ruodu Wang. (2015) Joint Mixability. SSRN Electronic Journal.
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Valeria Bignozzi, Giovanni Puccetti & Ludger RRschendorf. (2014) Reducing Model Risk via Positive and Negative Dependence Assumptions. SSRN Electronic Journal.
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