Huifu Xu

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management

Shatin, New Territories

Hong Kong

SCHOLARLY PAPERS

5

DOWNLOADS

762

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.

Preference Robust Distortion Risk Measure and Its Application

Number of pages: 63 Posted: 18 Feb 2021 Last Revised: 21 Oct 2021
Wei Wang and Huifu Xu
University of Southampton, Southampton Business School, Department of Decision Analytics and Risk and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 189 (283,803)
Citation 4

Abstract:

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Distortion risk measure, Yaari's dual theory, pairwise comparison, certainty equivalent, risk capital allocation

2.

Optimal Scenario-Dependent Multivariate Shortfall Risk Measure and its Application in Capital Allocation

Number of pages: 40 Posted: 01 Jun 2021
Wei Wang, Huifu Xu and Tiejun Ma
University of Southampton, Southampton Business School, Department of Decision Analytics and Risk, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and University of Southampton, Southampton Business School, Department of Decision Analytics and Risk
Downloads 182 (293,557)
Citation 3

Abstract:

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risk management, multivariate shortfall, scenario-dependent allocation weights, polynomial decision rule, scenario-dependent allocation strategy

3.

Generalized Shortfall Risk Measure Based on Insurance Premium

Number of pages: 35 Posted: 16 Apr 2021 Last Revised: 27 Aug 2021
Sainan Zhang and Huifu Xu
The Chinese University of Hong Kong (CUHK) and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 178 (299,303)

Abstract:

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Insurance premium, generalized shortfall risk measure, prospect theory, statistical robustness

4.

Robust Distorted Orlicz Premium: Modelling, Computational Scheme and Applications

Number of pages: 39 Posted: 02 May 2022
Qiong Wu and Huifu Xu
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 112 (433,142)

Abstract:

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Distorted Orlicz premium, distorted Haezondonck-Goovaerts risk measure, ambiguity in distortion, tractable formulation, portfolio optimization

5.

Preference Robust Optimization for Choice Functions on the Space of CDFs

Haskell, W. B., Xu, H., & Huang, W. (2022). Preference robust optimization for choice functions on the space of cdfs. SIAM Journal on Optimization, 32(2), 1446-1470.
Number of pages: 22 Posted: 01 Mar 2022 Last Revised: 12 Oct 2022
Purdue University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and The University of Hong Kong - Musketeers Foundation Institute of Data Science
Downloads 101 (466,632)

Abstract:

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preference elicitation, quasiconcave choice functions, multi-attribute decision-making, prefer- ence robust optimization, level search method