Yunran Wei

Northern Illinois University

1425 W. Lincoln Hwy

Dekalb, IL 60115-2828

United States

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

4

DOWNLOADS

475

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Scholarly Papers (4)

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, Northern Illinois University and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 199 (166,775)
Citation 5

Abstract:

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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 Northern Illinois University
Downloads 121 (252,512)
Citation 1

Abstract:

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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 Northern Illinois University
Downloads 102 (284,917)
Citation 2

Abstract:

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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 Northern Illinois University
Downloads 53 (411,102)

Abstract:

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comonotonicity; Choquet integrals; convexity; convex order; continuity