Peng Liu

University of Waterloo - Department of Statistics and Actuarial Science

200 University Avenue West

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

172

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Distributional Transforms, Probability Distortions, and Their Applications

Number of pages: 33 Posted: 15 Jul 2019 Last Revised: 13 Apr 2020
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 88 (313,490)
Citation 2

Abstract:

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distributional transforms, probability distortions, risk measures, option pricing, sensitivity analysis, change of measures, Value-at-Risk, Expected Shortfall, composition of groups

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

3.

Trade-off between validity and efficiency of merging p-values under arbitrary dependence

Number of pages: 34 Posted: 01 May 2020 Last Revised: 23 Jul 2020
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 36 (478,977)

Abstract:

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Hypothesis testing; multiple hypothesis testing; validity; efficiency