Linxiao Wei

Wuhan University of Technology

Wuhan

China

SCHOLARLY PAPERS

2

DOWNLOADS

98

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Inf-convolution and Optimal Allocations for Tail Risk Measures

Number of pages: 25 Posted: 05 Dec 2019
Fangda Liu, Ruodu Wang and Linxiao Wei
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and Wuhan University of Technology
Downloads 50 (422,026)

Abstract:

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Risk sharing, Pareto optimality, Value-at-Risk, Range-Value-at-Risk, Non-convex optimization

2.

Is the Inf-convolution of Law-invariant Preferences Law-invariant?

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 27 Posted: 13 May 2019 Last Revised: 17 Jan 2020
Peng Liu, Ruodu Wang and Linxiao Wei
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and Wuhan University of Technology
Downloads 48 (429,423)
Citation 1

Abstract:

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law-invariance, inf-convolution, preferences, risk functionals, risk sharing