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Coherent risk measure
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11	How superadditive can a risk measure be? Ruodu Wang⇤, Valeria Bignozzi† and Andreas Tsanakas‡ March 13, 2015§ Abstract In this paper, we study the extent to which any risk measure can lead to superadditive risk Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-04-12 08:10:33 Financial risk Mathematical finance Actuarial science Coherent risk measure Expected shortfall Risk measure Distortion risk measure Value at risk Spectral risk measure Entropic risk measure Risk Diversification
12	Risk Aggregation with Dependence Uncertainty Carole Bernard∗, Xiao Jiang† and Ruodu Wang‡ November 2013§ Abstract Risk aggregation with dependence uncertainty refers to the sum of individual risks with Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2016-03-25 06:23:06 Actuarial science Financial risk Independence Applied mathematics Mathematical analysis Economy Mathematical finance Convex analysis Copula Coherent risk measure Convex function Comonotonicity
13	Preprint manuscript No. (will be inserted by the editor) Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures Paul Embrechts · Bin Wang · Ruodu Wang Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2014-09-24 23:39:51 Financial risk Actuarial science Mathematical finance Economy Applied mathematics Finance Expected shortfall Value at risk Coherent risk measure Comonotonicity Risk Diversification
14	Risk Aversion in Risk Measures and Risk Sharing Tiantian Mao∗ and Ruodu Wang† September 26, 2015 Abstract In this paper, we put a notion of risk aversion into the context of monetary risk measures, the standard Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-09-26 13:55:08 Financial risk Economy Mathematical finance Finance Money Actuarial science Coherent risk measure Spectral risk measure Risk Portfolio optimization Distortion risk measure Expected value
15	VaR and ES Holy Triangle How Superadditive Can It Be? Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2014-05-11 08:05:16 Financial risk Actuarial science Mathematical finance Economy Applied mathematics Finance Value at risk Expected shortfall Variance Superadditivity Risk measure Coherent risk measure
16	General Convex Order on Risk Aggregation Edgars Jakobsons∗, Xiaoying Han† and Ruodu Wang‡ January 19, 2015 Abstract Using a general notion of convex order, we derive general lower bounds for risk measures of aggreg Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-01-19 14:25:53 Mathematical analysis Actuarial science Financial risk Analysis Economy Coherent risk measure Convex function Risk aversion Risk Comonotonicity Distribution
17	Elicitable distortion risk measures: a concise proof Ruodu Wang∗ and Johanna F. Ziegel† February 4, 2015 Abstract Elicitability has recently been discussed as a desirable property for risk Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-02-04 11:36:05 Mathematical analysis Mathematics Spectral theory Actuarial science Coherent risk measure Financial risk Mathematical finance RadonNikodym theorem Distribution Spectral theory of ordinary differential equations Decomposition of spectrum
18	Distortion Risk Measures in Action Hideatsu Tsukahara () Department of Economics, Seijo University Abstract The notion of risk measure is indispensable for financial risk management. Although Add to Reading List Source URL: ies.keio.ac.jp Language: English - Date: 2015-05-20 10:29:52 Financial economics Statistics Applied mathematics Coherent risk measure Expected shortfall Value at risk Risk Estimator Spectral risk measure Financial risk Actuarial science Mathematical finance
19	On Risk Measures, Market Making, and Exponential Families JACOB D. ABERNETHY University of Michigan and RAFAEL M. FRONGILLO Add to Reading List Source URL: www.sigecom.org Language: English - Date: 2014-12-16 17:33:22 Mathematical sciences Economics Actuarial science Utility Financial economics Coherent risk measure Entropic risk measure Exponential family Exponential utility Statistics Mathematical finance Financial risk
20	Risk Orders, Risk Measures and Risk Acceptance Families Robust Representation Illustrative Setting Risk Preferences and their Robust Representation Michael Kupper (joint work with Samuel Drapeau) Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-20 15:11:51 Actuarial science Mathematics Risk Order theory Real analysis Coherent risk measure Risk measure Monotonic function Acceptance set Financial risk Mathematical analysis Mathematical finance

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