Yunran Wei

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

  • University of Waterloo - Department of Statistics and Actuarial Science

SCHOLARLY PAPERS

5

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631

SSRN CITATIONS
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Top 37,269

in Total Papers Citations

15

CROSSREF CITATIONS

5

Scholarly Papers (5)

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1.

Characterization, Robustness and Aggregation of Signed Choquet Integrals

Forthcoming in Mathematics of Operations Research
Number of pages: 38 Posted: 24 Apr 2017 Last Revised: 09 Jul 2019
Ruodu Wang, Yunran Wei and Gordon Willmot
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 231 (204,686)
Citation 13

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comonotonicity, Choquet integrals, risk functionals, risk aggregation, robustness

2.

Risk Functionals With Convex Level Sets

Forthcoming in Mathematical Finance
Number of pages: 39 Posted: 20 Dec 2018 Last Revised: 31 Jul 2020
Ruodu Wang and Yunran Wei
University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 164 (278,351)
Citation 1

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convex level sets, quantiles, expected shortfall, elicitability, backtestability

3.

Characterizing Optimal Allocations in Quantile-Based Risk Sharing

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 32 Posted: 17 May 2018 Last Revised: 03 Jun 2020
Ruodu Wang and Yunran Wei
University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 119 (357,799)
Citation 2

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Risk Sharing, Value-at-Risk, Expected Shortfall, Non-Convexity, Pareto Optimality

4.

Distortion Riskmetrics on General Spaces

forthcoming in ASTIN Bulletin
Number of pages: 27 Posted: 30 Dec 2019 Last Revised: 26 May 2020
Qiuqi Wang, Ruodu Wang and Yunran Wei
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 100 (403,848)
Citation 2

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comonotonicity; Choquet integrals; convexity; convex order; continuity

5.

Assessing the Difference between Integrated Quantiles and Integrated Cumulative Distribution Functions

Downloads 17 (804,982)

Assessing the Difference between Integrated Quantiles and Integrated Cumulative Distribution Functions

Number of pages: 24 Posted: 05 Nov 2022 Last Revised: 30 Jan 2023
Yunran Wei and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 12 (880,736)

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quantile, Value-at-Risk, Expected Shortfall, integrated Value-at-Risk, statistical inference

Assessing the Difference Between Integrated Quantiles and Integrated Cumulative Distribution Functions

Number of pages: 24 Posted: 09 Nov 2022 Last Revised: 30 Jan 2023
Yunran Wei and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 5 (948,294)

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quantile, Value-at-Risk, Expected Shortfall, integrated Value-at-Risk, statistical inference