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Distortion Riskmetrics On General Spaces

Citations

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Cited by:

  1. Fei Huang & Silvana M. Pesenti, 2025. "Marginal Fairness: Fair Decision-Making under Risk Measures," Papers 2505.18895, arXiv.org.
  2. Ziyue Shi & David Landriault & Fangda Liu, 2024. "Performance-based variable premium scheme and reinsurance design," Papers 2412.01704, arXiv.org, revised Jul 2025.
  3. Zuo, Baishuai & Yin, Chuancun, 2025. "Worst-case distortion riskmetrics and weighted entropy with partial information," European Journal of Operational Research, Elsevier, vol. 321(2), pages 476-492.
  4. Mario Ghossoub & Qinghua Ren & Ruodu Wang, 2024. "Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measures," Papers 2412.00655, arXiv.org, revised Mar 2026.
  5. Barczy, Mátyás & K. Nedényi, Fanni & Sütő, László, 2023. "Probability equivalent level of Value at Risk and higher-order Expected Shortfalls," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 107-128.
  6. Chen, Yuyu & Embrechts, Paul & Wang, Ruodu, 2025. "Risk exchange under infinite-mean Pareto models," Insurance: Mathematics and Economics, Elsevier, vol. 124(C).
  7. Fabio Bellini & Tolulope Fadina & Ruodu Wang & Yunran Wei, 2020. "Parametric measures of variability induced by risk measures," Papers 2012.05219, arXiv.org, revised Apr 2022.
  8. Yunran Wei & Ricardas Zitikis, 2022. "Assessing the difference between integrated quantiles and integrated cumulative distribution functions," Papers 2210.16880, arXiv.org, revised Apr 2023.
  9. Xuehua Yin & Narayanaswamy Balakrishnan & Chuancun Yin, 2023. "Bounds for Gini’s mean difference based on first four moments, with some applications," Statistical Papers, Springer, vol. 64(6), pages 2081-2100, December.
  10. Xia Han & Ruodu Wang & Qinyu Wu, 2026. "Monotonic mean–deviation risk measures," Finance and Stochastics, Springer, vol. 30(2), pages 441-483, April.
  11. Wei, Yunran & Zitikis, Ričardas, 2023. "Assessing the difference between integrated quantiles and integrated cumulative distribution functions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 163-172.
  12. Cai, Jun & Liu, Fangda & Yin, Mingren, 2024. "Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance," European Journal of Operational Research, Elsevier, vol. 318(1), pages 310-326.
  13. Xia Han & Ruodu Wang & Qinyu Wu, 2025. "Higher-order Gini indices: An axiomatic approach," Papers 2508.10663, arXiv.org, revised Sep 2025.
  14. Muqiao Huang & Ruodu Wang, 2024. "Coherent risk measures and uniform integrability," Papers 2404.03783, arXiv.org, revised Apr 2025.
  15. Wenjun Jiang & Qingqing Zhang & Yiying Zhang, 2026. "Distributionally Robust Insurance under Bregman-Wasserstein Divergence," Papers 2604.27837, arXiv.org.
  16. Mengshuo Zhao & Narayanaswamy Balakrishnan & Chuancun Yin & Hui Shao, 2024. "Extremal cases of distortion risk measures with partial information," Papers 2404.13637, arXiv.org, revised Dec 2025.
  17. Mengshuo Zhao & Chuancun Yin, 2024. "Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information," Papers 2409.19902, arXiv.org.
  18. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2024. "Robust distortion risk measures," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 774-818, July.
  19. Mario Ghossoub & Qinghua Ren & Ruodu Wang, 2024. "Counter-monotonic risk allocations and distortion risk measures," Papers 2407.16099, arXiv.org.
  20. Xiaoqing Liang & Ruodu Wang & Virginia Young, 2021. "Optimal Insurance to Maximize RDEU Under a Distortion-Deviation Premium Principle," Papers 2107.02656, arXiv.org, revised Feb 2022.
  21. Ruodu Wang & Qinyu Wu, 2025. "Probabilistic risk aversion for generalized rank-dependent functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 79(3), pages 1055-1082, May.
  22. Boonen, Tim J. & Jiang, Wenjun, 2025. "Pareto-optimal insurance under robust distortion risk measures," European Journal of Operational Research, Elsevier, vol. 324(2), pages 690-705.
  23. Wiesel Johannes & Zhang Erica, 2023. "An optimal transport-based characterization of convex order," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-15, January.
  24. Zhang, Yiying & Jiang, Wenjun, 2026. "Optimal reinsurance design under convex premium principles and distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 126(C).
  25. Fuchs Sebastian & Trutschnig Wolfgang, 2020. "On quantile based co-risk measures and their estimation," Dependence Modeling, De Gruyter, vol. 8(1), pages 396-416, January.
  26. Shi, Ziyue & Landriault, David & Liu, Fangda, 2026. "Performance-based variable premium scheme and reinsurance design," Insurance: Mathematics and Economics, Elsevier, vol. 126(C).
  27. Wei Wang & Huifu Xu, 2023. "Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making," Computational Management Science, Springer, vol. 20(1), pages 1-51, December.
  28. Silvana Pesenti & Qiuqi Wang & Ruodu Wang, 2020. "Optimizing distortion riskmetrics with distributional uncertainty," Papers 2011.04889, arXiv.org, revised Feb 2022.
  29. Baishuai Zuo & Chuancun Yin, 2025. "Analyzing distortion riskmetrics and weighted entropy for unimodal and symmetric distributions under partial information constraints," Papers 2504.19725, arXiv.org, revised Nov 2025.
  30. Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2023. "Risk sharing, measuring variability, and distortion riskmetrics," Papers 2302.04034, arXiv.org, revised Sep 2025.
  31. Felix-Benedikt Liebrich & Ruodu Wang, 2025. "Eliciting reference measures of law-invariant functionals," Papers 2507.13763, arXiv.org, revised Feb 2026.
  32. Yuyu Chen & Paul Embrechts & Ruodu Wang, 2024. "Risk exchange under infinite-mean Pareto models," Papers 2403.20171, arXiv.org, revised Jun 2025.
  33. Bellini, Fabio & Fadina, Tolulope & Wang, Ruodu & Wei, Yunran, 2022. "Parametric measures of variability induced by risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 270-284.
  34. Qiuqi Wang & Ruodu Wang & Ricardas Zitikis, 2021. "Risk measures induced by efficient insurance contracts," Papers 2109.00314, arXiv.org, revised Sep 2021.
  35. Wang, Qiuqi & Wang, Ruodu & Zitikis, Ričardas, 2022. "Risk measures induced by efficient insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 56-65.
  36. Boonen, Tim J. & Han, Xia, 2024. "Optimal insurance with mean-deviation measures," Insurance: Mathematics and Economics, Elsevier, vol. 118(C), pages 1-24.
  37. Muqiao Huang & Ruodu Wang, 2026. "Coherent risk measures and uniform integrability," Finance and Stochastics, Springer, vol. 30(2), pages 527-552, April.
  38. Xia Han & Ruodu Wang & Xun Yu Zhou, 2022. "Choquet regularization for reinforcement learning," Papers 2208.08497, arXiv.org.
  39. Xia Han & Ruodu Wang & Qinyu Wu, 2023. "Monotonic mean-deviation risk measures," Papers 2312.01034, arXiv.org, revised Aug 2024.
  40. Yuyu Chen & Paul Embrechts & Ruodu Wang, 2022. "An unexpected stochastic dominance: Pareto distributions, dependence, and diversification," Papers 2208.08471, arXiv.org, revised Mar 2024.
  41. Fuchs Sebastian & Trutschnig Wolfgang, 2020. "On quantile based co-risk measures and their estimation," Dependence Modeling, De Gruyter, vol. 8(1), pages 396-416, January.
  42. Baishuai Zuo & Chuancun Yin, 2024. "Worst-cases of distortion riskmetrics and weighted entropy with partial information," Papers 2405.19075, arXiv.org.
  43. Muqiao Huang, 2025. "Partial comonotonicity and distortion riskmetrics," Papers 2506.07472, arXiv.org, revised Mar 2026.
  44. Ruodu Wang & Qinyu Wu, 2022. "Probabilistic risk aversion for generalized rank-dependent functions," Papers 2209.03425, arXiv.org, revised Sep 2024.
  45. Peng Liu & Steven Vanduffel & Yi Xia, 2025. "Robust distortion risk metrics and portfolio optimization," Papers 2511.08662, arXiv.org.
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