Ricardas Zitikis

University of Western Ontario

1151 Richmond Street

Suite 2

London, Ontario N6A 5B8

Canada

SCHOLARLY PAPERS

34

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SSRN CITATIONS
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Top 9,549

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44

CROSSREF CITATIONS

56

Scholarly Papers (34)

1.

Prospect Theory, Indifference Curves, and Hedging Risks

Number of pages: 13 Posted: 12 Jun 2010
Udo Broll, Martin Egozcue, Ricardas Zitikis and Wing-Keung Wong
Dresden University of Technology - Faculty of Economics and Business Management, Universidad de la Republica, University of Western Ontario and Asia University, Department of Finance
Downloads 231 (133,492)
Citation 14

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Prospect theory, mean-variance model, indifference curve, production output, price uncertainty, hedging, contango, backwardation

2.

Background Risk Models and Stepwise Portfolio Construction

Methodology and Computing in Applied Probability, 2016, 18(3), 805-827.
Number of pages: 27 Posted: 04 Oct 2013 Last Revised: 10 Aug 2016
Alexandru Vali Asimit, Raluca Vernic and Ricardas Zitikis
Cass Business School, City, University of London, Ovidius University of Constanta and University of Western Ontario
Downloads 230 (134,026)
Citation 1

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Portfolio construction, Background risk, Systemic risk, Laplace transform, Risk management, Capital allocation

3.

General Stein-Type Covariance Decompositions with Applications to Insurance and Finance

ASTIN: Bulletin, Vol. 40, No. 1, pp. 369-375
Number of pages: 7 Posted: 10 Mar 2008 Last Revised: 08 Jun 2010
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and University of Western Ontario
Downloads 221 (139,357)

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Capital Asset Pricing Model, CAPM, Beta, Stein's Lemma, Covariance Decomposition, Linear Regression

4.

Do Investors Like to Diversify? A Study of Markowitz Preferences

Number of pages: 16 Posted: 06 Feb 2009 Last Revised: 23 May 2011
Universidad de la Republica, University of Lleida, Asia University, Department of Finance and University of Western Ontario
Downloads 216 (142,403)
Citation 9

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Diversification, stochastic dominance, risk seeking, risk averse, S-shaped utility function, reverse S-shaped utility function

5.

Weighted Premium Calculation Principles

Insurance: Mathematics and Economics, Vol. 42, No. 1, pp. 459 - 465
Number of pages: 17 Posted: 18 Jul 2007 Last Revised: 02 Sep 2008
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and University of Western Ontario
Downloads 216 (142,403)
Citation 11

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weighted transform, weighted distribution, weighted premium calculation principle, loaded premium, distorted premium, Esscher's premium, Kamps's premium, conditional tail expectation, tail variance premium, stochastic ordering

6.

Weighted Risk Capital Allocations

Insurance: Mathematics and Economics, Vol. 43, No. 2, pp. 263-270
Number of pages: 23 Posted: 05 Mar 2008 Last Revised: 24 Mar 2009
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and University of Western Ontario
Downloads 206 (148,879)
Citation 1

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Weighted distributions, weighted premiums, weighted allocations, Stein's lemma, general covariance decomposition, regression function

7.

Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks

Number of pages: 32 Posted: 11 Sep 2016
Edward Furman, Ruodu Wang and Ricardas Zitikis
York University - Department of Mathematics and Statistics, University of Waterloo - Department of Statistics and Actuarial Science and University of Western Ontario
Downloads 195 (156,829)
Citation 5

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risk measure, variability measure, Gini shortfall, Gini capital allocation, Choquet integral.

8.

Paths and Indices of Maximal Tail Dependence

ASTIN Bulletin: The Journal of the International Actuarial Association, Forthcoming
Number of pages: 20 Posted: 06 May 2014 Last Revised: 17 Jul 2016
Edward Furman, Jianxi Su and Ricardas Zitikis
York University - Department of Mathematics and Statistics, Purdue University - Department of Statistics and University of Western Ontario
Downloads 179 (169,410)
Citation 2

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multivariate distribution; copula; tail dependence; maximal dependence; fatal shock; multivariate Pareto; enterprise risk management.

9.

Prospect Theory and Hedging Risks

Dresden Discussion Paper in Economics No. 5/10
Number of pages: 24 Posted: 12 Jun 2010
Udo Broll, Martin Egozcue, Wing-Keung Wong and Ricardas Zitikis
Dresden University of Technology - Faculty of Economics and Business Management, Universidad de la Republica, Asia University, Department of Finance and University of Western Ontario
Downloads 138 (210,973)
Citation 4

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Prospect theory, mean-variance model, indifference curve, price uncertainty, hedging

10.

Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model

Risks, 2013, Volume 1, Issue 1, p.14-33
Number of pages: 23 Posted: 13 Jan 2013 Last Revised: 17 Nov 2014
Alexandru Vali Asimit, Raluca Vernic and Ricardas Zitikis
Cass Business School, City, University of London, Ovidius University of Constanta and University of Western Ontario
Downloads 109 (251,967)
Citation 1

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distortion risk measure, weighted premium, weighted allocation, tail value at risk, conditional tail expectation, multivariate Pareto distribution

11.

Measuring the Lack of Monotonicity in Functions

Mathematical Scientist. 2014, Vol. 39 Issue 2, p107-117. 11p.
Number of pages: 23 Posted: 25 Mar 2014 Last Revised: 23 Aug 2019
Danang Qoyyimi and Ricardas Zitikis
Department of Statistical and Actuarial Sciences University of Western Ontario and University of Western Ontario
Downloads 107 (255,139)
Citation 3

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monotonicity, monotone rearrangement, convex rearrangement, comonotonicity, monotone likelihood ratio test, likelihood ratio ordering, hazard rate ordering, weighted insurance premiums

12.

Trends in Disguise

Annals of Actuarial Science, 9(1), 58-71, 2015
Number of pages: 18 Posted: 26 Mar 2014 Last Revised: 07 May 2015
Vytaras Brazauskas, Bruce L. Jones and Ricardas Zitikis
University of Wisconsin - Milwaukee, University of Western Ontario - Department of Statistical and Actuarial Sciences and University of Western Ontario
Downloads 103 (262,005)

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Deductible; Deflation; Inflation rate; Insurance claims; Polynomial Pareto distribution

13.

Coupled Risk Measures and Their Empirical Estimation When Losses Follow Heavy-Tailed Distributions

Number of pages: 28 Posted: 30 May 2011 Last Revised: 02 Jun 2011
Abdelhakim Necir and Ricardas Zitikis
University Mohamed Khider - Laboratory of Applied Mathematics and University of Western Ontario
Downloads 93 (280,261)
Citation 1

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Risk measure, Heavy-tailed distribution, Distortion risk measure, Weighted risk measure, Proportional hazards transform, Conditional tail expectation, Premium calculation principle, Index of economic inequality, Statistical inference

14.

An Axiomatic Foundation for the Expected Shortfall

Number of pages: 39 Posted: 22 Jul 2019 Last Revised: 27 Aug 2019
Ruodu Wang and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and University of Western Ontario
Downloads 84 (301,019)

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risk measure, Expected Shortfall, risk concentration, diversification, risk aggregation

15.

Gruss-Type Bounds for the Covariance of Transformed Random Variables

Number of pages: 12 Posted: 24 Mar 2010
Universidad de la Republica, University of Lleida, Asia University, Department of Finance and University of Western Ontario
Downloads 76 (317,128)
Citation 2

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Gruss-type Bounds, Covariance, Transformed Random Variables, decision making, uncertainty

16.

Weighted Pricing Functionals

Number of pages: 31 Posted: 29 Sep 2008
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and University of Western Ontario
Downloads 73 (324,501)

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Weighted distributions, weighted premiums, pri ing functionals, actuarial premium calculation principles, economic premium calculation principles, capital asset pricing model, CAPM, weighted insurance pricing model, WIPM

17.

Revisiting Grüss’s Inequality: Covariance Bounds, QDE but not QD Copulas, and Central Moments

Number of pages: 27 Posted: 26 Oct 2010
University of Montevideo - Department of Economics, University of Coruña, Asia University, Department of Finance and University of Western Ontario
Downloads 65 (345,385)

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Grüss’s Inequality, Covariance Bound, Hoeffding Representation, Cuadras Representation, Quadrant Dependence, Quadrant Dependence in Expectation, Copula, Convex Combination, Archimedean Copula, Fréchet Copula, Farlie-Gumbel-Morgenstern Copula, Central Moments, Edmundson-Madansky Bound

18.

Prospect Performance Evaluation: Making a Case for a Non-Asymptotic UMPU Test

Number of pages: 31 Posted: 16 Dec 2011
Wing-Keung Wong, Ricardas Zitikis, Zhidong Bai and Yongchang Hui
Asia University, Department of Finance, University of Western Ontario, Northeast Normal University and affiliation not provided to SSRN
Downloads 62 (353,866)
Citation 3

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19.

Optimal Reinsurance Policies When the Interests of Both the Cedent and the Reinsurer are Taken into Account

Number of pages: 29 Posted: 21 Sep 2016
Wenjun Jiang, Jiandong Ren and Ricardas Zitikis
University of Calgary, University of Western Ontario and University of Western Ontario
Downloads 59 (362,690)
Citation 1

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optimal reinsurance

20.

Zenga’s New Index of Economic Inequality, Its Estimation, and an Analysis of Incomes in Italy

Number of pages: 26 Posted: 04 Sep 2009 Last Revised: 01 Aug 2015
Francesca Greselin, Leo Pasquazzi and Ricardas Zitikis
Università degli Studi di Milano Bicocca - Dept. of Statistics and Quantitative Methods, Università degli Studi di Milano Bicocca and University of Western Ontario
Downloads 57 (368,855)

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Zenga index, lower conditional expectation, upper conditional expectation, confidence interval, Bonferroni curve, Lorenz curve, Vervaat process

21.

Tail Dependence of the Gaussian Copula Revisited

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 21 Posted: 02 Feb 2015 Last Revised: 17 Jul 2016
Edward Furman, Alexey Kuznetsov, Jianxi Su and Ricardas Zitikis
York University - Department of Mathematics and Statistics, York University, Purdue University - Department of Statistics and University of Western Ontario
Downloads 56 (372,081)

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Gaussian copula, tail dependence, maximal dependence path

22.

Beyond the Pearson Correlation: Heavy-Tailed Risks, Weighted Gini Correlations, and a Gini-Type Weighted Insurance Pricing Model

Number of pages: 21 Posted: 09 Jul 2016 Last Revised: 12 Jul 2016
Edward Furman and Ricardas Zitikis
York University - Department of Mathematics and Statistics and University of Western Ontario
Downloads 51 (388,259)

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Pearson correlation, weighted Gini correlation, capital asset pricing model, weighted insurance pricing model, bivariate distributions.

23.

Weighted Risk Capital Allocations in the Presence of Systematic Risk

Number of pages: 19 Posted: 19 Sep 2017
Edward Furman, Alexey Kuznetsov and Ricardas Zitikis
York University - Department of Mathematics and Statistics, York University and University of Western Ontario
Downloads 50 (391,661)

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Weighted risk measures, weighted risk capital allocations, systematic risk

24.

Log-Supermodularity of Weight Functions and the Loading Monotonicity of Weighted Insurance Premiums

Number of pages: 17 Posted: 20 Aug 2010
Hristo Sendov, Ying Wang and Ricardas Zitikis
University of Western Ontario - Department of Statistical and Actuarial Sciences, University of Western Ontario - Department of Applied Mathematics and University of Western Ontario
Downloads 50 (391,661)
Citation 1

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Insurance premium, Weighted premium, Weighted distribution, Log-supermodularity, Supermodularity, Submodularity, Monotonicity, Esscher premium, Conditional tail expectation, Kamps premium, Wang premium, Distortion premium, Chebyshev's inequality, Decision under uncertainty

25.

An Optimal Strategy for Maximizing the Expected Real-Estate Selling Price: Accept or Reject an Offer?

Number of pages: 17 Posted: 15 Aug 2012
Martin Egozcue, Luis Fuentes García and Ricardas Zitikis
Universidad de la Republica, University of Coruña and University of Western Ontario
Downloads 42 (420,265)
Citation 2

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Real estate, Optimal strategy, Decision theory, Uncertainty, Two-envelope problem

26.

Measuring Association via Lack of Co-Monotonicity: The LOC Index and a Problem of Educational Assessment

Number of pages: 22 Posted: 26 Feb 2015 Last Revised: 06 Jun 2015
Danang Qoyyimi and Ricardas Zitikis
Department of Statistical and Actuarial Sciences University of Western Ontario and University of Western Ontario
Downloads 41 (424,005)
Citation 1

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association, co-monotonicity, Liebscher coefficient, LOC index, education, performance evaluation.

27.

Robust Fitting of Claim Severity Distributions and the Method of Trimmed Moments

Journal of Statistical Planning and Inference, 139(6), 2028-2043, 2009
Number of pages: 30 Posted: 08 Jun 2014 Last Revised: 18 Jun 2014
Vytaras Brazauskas, Bruce L. Jones and Ricardas Zitikis
University of Wisconsin - Milwaukee, University of Western Ontario - Department of Statistical and Actuarial Sciences and University of Western Ontario
Downloads 40 (427,924)

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28.

Measuring Economic Inequality and Risk: A Unifying Approach Based on Personal Gambles, Societal Preferences and References

Number of pages: 29 Posted: 02 Aug 2015
Francesca Greselin and Ricardas Zitikis
Università degli Studi di Milano Bicocca - Dept. of Statistics and Quantitative Methods and University of Western Ontario
Downloads 35 (448,662)
Citation 2

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economic inequality, reference measure, personal gamble, inequality index, risk measure, relativity.

29.

Should We Opt for the Black Friday Discounted Price or Wait Until the Boxing Day?

The Mathematical Scientist (Forthcoming), 2017
Number of pages: 16 Posted: 19 Dec 2016
Jiang Wu and Ricardas Zitikis
Central University of Finance and Economics (CUFE) and University of Western Ontario
Downloads 30 (471,293)

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decision theory, two-period economy, price discrimination, strategy, game theory, conditional probability, statistical modelling

30.

Examining the Distributional Effects of Military Service on Earnings: A Test of Initial Dominance

Number of pages: 37 Posted: 26 Jun 2012
Christopher Joseph Bennett and Ricardas Zitikis
Vanderbilt University and University of Western Ontario
Downloads 20 (526,471)

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Treatment effect, Potential outcome, Earnings, Hypothesis test, Stochastic dominance, Initial dominance, Crossing point, Causal effect

31.

Weak Comonotonicity

Forthcoming, European Journal of Operational Research
Number of pages: 32 Posted: 28 Dec 2018 Last Revised: 13 Sep 2019
Ruodu Wang and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and University of Western Ontario
Downloads 15 (555,993)
Citation 1

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32.

Quantifying and Analyzing Nonlinear Associations With a Fresh Look at a Classical Dataset of Student Scores

Number of pages: 31 Posted: 24 Aug 2019 Last Revised: 27 Aug 2019
Lingzhi Chen and Ricardas Zitikis
University of Western Ontario and University of Western Ontario
Downloads 11 (580,984)

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educational assessment, statistical analysis, association, curriculum development

33.

Aggregate Claims When Their Sizes and Arrival Times are Dependent and Governed by a General Point Process

Posted: 25 Apr 2011 Last Revised: 26 Apr 2011
Kristina Paskova Sendova and Ricardas Zitikis
University of Western Ontario and University of Western Ontario

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Aggregate Claims, Point Process, Order Statistic, Order Statistic Point Process, OS-Point Process, Claim Frequency, Claim Severity

34.

Testing Hypotheses About Absolute Concentration Curves and Marginal Conditional Stochastic Dominance

Economic Theory, Vol. 24, No. 4, pp. 1044-1062
Posted: 03 May 2006 Last Revised: 03 Apr 2009
Ben-Gurion University of the Negev - Department of Industrial Engineering and Management, Ben-Gurion University of the Negev, Department of Industrial Engineering and Management, Hebrew University of Jerusalem - Department of Economics and University of Western Ontario

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Absolute concentration curve, Lorenz curve, marginal conditional stochastic dominance, consistency, convergence in distribution, bootstrap