Ricardas Zitikis

Western University

1151 Richmond Street

Suite 2

London, Ontario N6A 5B8

Canada

SCHOLARLY PAPERS

48

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4,468

SSRN CITATIONS
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Top 9,805

in Total Papers Citations

53

CROSSREF CITATIONS

74

Scholarly Papers (48)

1.

An Axiomatic Foundation for the Expected Shortfall

Management Science, Forthcoming
Number of pages: 38 Posted: 22 Jul 2019 Last Revised: 17 Mar 2020
Ruodu Wang and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 322 (142,502)
Citation 10

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

2.

Prospect Theory, Indifference Curves, and Hedging Risks

Number of pages: 13 Posted: 12 Jun 2010
Dresden University of Technology - Faculty of Economics and Business Management, Universidad de la RepublicaUniversity of Montevideo, Western University and Asia University, Department of Finance
Downloads 260 (177,715)
Citation 15

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

3.

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 Western University
Downloads 249 (185,501)

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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

4.

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 Western University
Downloads 243 (190,001)
Citation 1

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

5.

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 Western University
Downloads 243 (190,001)
Citation 5

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

6.

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 Western University
Downloads 232 (198,733)
Citation 1

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

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 Western University
Downloads 225 (204,589)
Citation 9

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

8.

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 RepublicaUniversity of Montevideo, University of Lleida, Asia University, Department of Finance and Western University
Downloads 225 (204,589)
Citation 2

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

9.

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 Western University
Downloads 198 (230,210)
Citation 5

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

10.

Prospect Theory and Hedging Risks

Dresden Discussion Paper in Economics No. 5/10
Number of pages: 24 Posted: 12 Jun 2010
Dresden University of Technology - Faculty of Economics and Business Management, Universidad de la RepublicaUniversity of Montevideo, Asia University, Department of Finance and Western University
Downloads 154 (285,831)
Citation 4

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

11.

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 Western University
Downloads 122 (342,403)
Citation 1

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

12.

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 Western University
Downloads 120 (346,539)
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

13.

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 Western University
Downloads 105 (380,459)

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

14.

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 Western University
Downloads 105 (380,459)
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

15.

Gruss-Type Bounds for the Covariance of Transformed Random Variables

Number of pages: 12 Posted: 24 Mar 2010
Universidad de la RepublicaUniversity of Montevideo, University of Lleida, Asia University, Department of Finance and Western University
Downloads 92 (415,149)
Citation 3

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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 Western University
Downloads 90 (421,017)

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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.

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 Western University
Downloads 81 (448,399)
Citation 2

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optimal reinsurance

18.

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 Western University
Downloads 80 (451,715)

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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

19.

A Statistical Methodology for Assessing the Maximal Strength of Tail Dependence

Number of pages: 29 Posted: 23 Mar 2020 Last Revised: 29 Sep 2021
Ning Sun, Chen Yang and Ricardas Zitikis
University of Western Ontario, School of Economics and Management - Wuhan University and Western University
Downloads 78 (458,273)
Citation 1

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copula, maximal tail dependence, statistical estimation, Kendall's distribution

20.

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 Western University
Downloads 78 (458,273)

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Gaussian copula, tail dependence, maximal dependence path

21.

Detecting Systematic Anomalies Affecting Systems When Inputs Are Stationary Time Series

Applied Stochastic Models in Business and Industry
Number of pages: 54 Posted: 09 Jan 2021 Last Revised: 11 Sep 2022
Ning Sun, Chen Yang and Ricardas Zitikis
University of Western Ontario, School of Economics and Management - Wuhan University and Western University
Downloads 76 (465,232)

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Control systems, anomaly detection, systematic errors, time series.

22.

Tail maximal dependence in bivariate models: estimation and applications

Mathematical Methods of Statistics
Number of pages: 40 Posted: 14 Jul 2020 Last Revised: 12 Sep 2022
Ning Sun, Chen Yang and Ricardas Zitikis
University of Western Ontario, Icahn School of Medicine at Mount Sinai and Western University
Downloads 76 (465,232)

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extreme co-movement, maximal tail dependence, financial instrument, statistical hypothesis

23.

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, Western University, Northeast Normal University and affiliation not provided to SSRN
Downloads 70 (486,584)
Citation 5

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24.

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 Western University
Downloads 70 (486,584)

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

25.

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 Western University
Downloads 66 (501,843)

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

26.

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 Western University
Downloads 65 (505,786)
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

27.

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 Western University
Downloads 64 (509,850)
Citation 1

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Weighted risk measures, weighted risk capital allocations, systematic risk

28.

The Slicing Method: Determining Insensitivity Regions of Probability Weighting Functions

Computational Economics
Number of pages: 40 Posted: 18 Mar 2021 Last Revised: 08 Mar 2022
Martín Egozcue, Luis Fuentes García and Ricardas Zitikis
University of Montevideo - Department of Economics, University of Coruña and Western University
Downloads 63 (513,926)

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behavioural economics, probability weighting function, subadditivity, likelihood insensitivity, probabilistic insensitivity

29.

Risk Measures Induced by Efficient Insurance Contracts

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 06 Oct 2021 Last Revised: 10 Jan 2022
Qiuqi Wang, Ruodu Wang and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 62 (518,027)

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Optimal insurance, Expected Shortfall, Pareto optimality, deductible, concentration

30.

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

Number of pages: 17 Posted: 15 Aug 2012
Universidad de la RepublicaUniversity of Montevideo, University of Coruña and Western University
Downloads 54 (552,859)
Citation 2

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

31.

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 Western University
Downloads 53 (557,464)

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

32.

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 Western University
Downloads 53 (557,464)

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33.

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 Western University
Downloads 52 (562,239)
Citation 2

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

34.

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 Western University
Downloads 46 (591,955)
Citation 1

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

35.

Decision making in the classroom: when mathematics teaching and statistical reasoning meet each other

Number of pages: 17 Posted: 18 Mar 2021 Last Revised: 19 May 2022
Munir Mahmood, Lori Murray, Ricardas Zitikis and Ibtihal Mahmood
Mathematics and Statistics Education Australia, King's University College, Western University, Western University and University of Melbourne
Downloads 44 (602,390)

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factorial, bound, limit, squeeze theorem

36.

Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 48 Posted: 28 Mar 2022 Last Revised: 03 Sep 2022
Nadezhda Gribkova, Jianxi Su and Ricardas Zitikis
Saint Petersburg State University, Purdue University - Department of Statistics and Western University
Downloads 38 (636,224)

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capital allocations, marginal expected shortfall, compound sums, order statistics, concomitants

37.

Empirical Tail Conditional Allocation and Its Consistency under Minimal Assumptions

Annals of the Institute of Statistical Mathematics
Number of pages: 26 Posted: 13 Aug 2021 Last Revised: 19 Oct 2021
Nadezhda Gribkova, Jianxi Su and Ricardas Zitikis
Saint Petersburg State University, Purdue University - Department of Statistics and Western University
Downloads 36 (648,227)

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tail conditional allocation, marginal expected shortfall, inference, order statistic, concomitant

38.

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 Western University
Downloads 33 (667,210)
Citation 3

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39.

Estimating the VaR-Induced Euler Allocation Rule

Number of pages: 24 Posted: 19 Sep 2022
Nadezhda Gribkova, Jianxi Su and Ricardas Zitikis
Saint Petersburg State University, Purdue University - Department of Statistics and Western University
Downloads 31 (680,517)

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capital allocations, conditional mean risk sharing, quantile regression, order statistics, concomitants

40.

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 Western University
Downloads 31 (680,517)
Citation 1

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

41.

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

Number of pages: 26 Posted: 24 Aug 2019 Last Revised: 25 Feb 2020
Lingzhi Chen and Ricardas Zitikis
University of Western Ontario and Western University
Downloads 30 (687,548)

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educational assessment, statistical analysis, association, curriculum development

42.

A Text Analysis for Operational Risk Loss Descriptions

Number of pages: 21 Posted: 14 Dec 2022
UniCredit S.p.A., Università degli Studi di Milano Bicocca - Dept. of Statistics and Quantitative Methods, UniCredit S.p.A. and Western University
Downloads 17 (791,370)

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operational risk, text analysis, classification, clustering, dimensionality reduction

43.

Bivariate Compound Tail Probabilities and Their Bounds for the Assessment of Required Capital

Number of pages: 27 Posted: 22 Sep 2022
Ang Li, Jiandong Ren and Ricardas Zitikis
Western University, Canada, University of Western Ontario and Western University
Downloads 15 (809,418)

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bivariate distribution, compound sum, required capital, joint tail probability, value at risk, estimates

Assessing the Difference between Integrated Quantiles and Integrated Cumulative Distribution Functions

Number of pages: 20 Posted: 05 Nov 2022
Yunran Wei and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 8 (911,457)

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

Assessing the difference between integrated quantiles and integrated cumulative distribution functions

Number of pages: 20 Posted: 09 Nov 2022
Yunran Wei and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 3 (970,489)

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

45.

Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation

Number of pages: 24 Posted: 10 Nov 2022
Nadezhda Gribkova, Jianxi Su and Ricardas Zitikis
Saint Petersburg State University, Purdue University - Department of Statistics and Western University
Downloads 7 (887,501)

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tail conditional allocation, order statistics, concomitants, resampling, coverage probability

46.

Functional Correlations in the Pursuit of Performance Assessment of Classifiers

International Journal of Pattern Recognition and Artificial Intelligence, 34 (13), Article 2051013 (15 December, 2020) https://doi.org/10.1142/S0218001420510131
Number of pages: 26 Posted: 07 Dec 2022
Nadezhda Gribkova and Ricardas Zitikis
Saint Petersburg State University and Western University
Downloads 3 (931,393)

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Functional Correlation, Classifier, Rater, Confusion Matrix, Weighted Kappa

47.

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 Western University

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

48.

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, Department of Industrial Management, Sapir Academic College, Hebrew University of Jerusalem - Department of Economics and Western University

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