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Yunran Wei

Carleton University

Ottawa

  • Carleton University

SCHOLARLY PAPERS

6

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1,163

TOTAL CITATIONS
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38

Scholarly Papers (6)

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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, Carleton University and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 316 (241,719)
Citation 21

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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 Carleton University
Downloads 236 (324,656)
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 Carleton University
Downloads 236 (324,656)
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
Georgia State University - J. Mack Robinson College of Business, University of Waterloo - Department of Statistics and Actuarial Science and Carleton University
Downloads 185 (411,650)
Citation 14

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comonotonicity; Choquet integrals; convexity; convex order; continuity

5.

Assessing the Difference Between Integrated Quantiles and Integrated Cumulative Distribution Functions

Downloads 105 (664,543)

Assessing the Difference Between Integrated Quantiles and Integrated Cumulative Distribution Functions

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 09 Nov 2022 Last Revised: 25 Apr 2023
Yunran Wei and Ricardas Zitikis
Carleton University and University of Western Ontario
Downloads 54 (1,038,620)

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

Assessing the Difference between Integrated Quantiles and Integrated Cumulative Distribution Functions

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 05 Nov 2022 Last Revised: 14 Jun 2023
Yunran Wei and Ricardas Zitikis
Carleton University and University of Western Ontario
Downloads 51 (1,072,374)

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

6.

Vulnerability-conditional risk measure and its applications

Number of pages: 32 Posted: 08 Jan 2025 Last Revised: 23 Apr 2025
Tong Pu, Yunran Wei and Yiying Zhang
Southern University of Science and Technology, Carleton University and Southern University of Science and Technology
Downloads 85 (783,685)

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Cryptocurrency, Systemic risk, Copula, Risk measures, Stochastic orders, Bitcoin