Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
J Cai, Y Wang - Insurance: Mathematics and Economics, 2021 - Elsevier
When allocating a given total capital among main business lines and their sub-business
lines, a decision maker will face both capital shortfall risk and capital surplus risk for each …
lines, a decision maker will face both capital shortfall risk and capital surplus risk for each …
Systemic risk: Conditional distortion risk measures
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and
distortion risk contribution (ΔCoD) measures as measures of systemic risk and analyze their …
distortion risk contribution (ΔCoD) measures as measures of systemic risk and analyze their …
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
In this paper, we extend the concept of tail subadditivity (Belles-Sampera et al., 2014a;
Belles-Sampera et al., 2014b) for distortion risk measures and give sufficient and necessary …
Belles-Sampera et al., 2014b) for distortion risk measures and give sufficient and necessary …
Compositional methods applied to capital allocation problems
In this paper, we examine the relationship between capital allocation problems and
compositional data, ie, information that refers to the parts of a whole conveying relative …
compositional data, ie, information that refers to the parts of a whole conveying relative …
Optimization of Electric Vehicles Based on Frank-Copula-GlueCVaR Combined Wind and Photovoltaic Output Scheduling Research
J Gao, Y Yang, F Gao, P Liang - Energies, 2021 - mdpi.com
Improving the efficiency of renewable energy and electricity utilization is an urgent problem
for China under the objectives of carbon peaking and carbon neutralization. This paper …
for China under the objectives of carbon peaking and carbon neutralization. This paper …
A discussion on recent risk measures with application to credit risk: Calculating risk contributions and identifying risk concentrations
M Fischer, T Moser, M Pfeuffer - Risks, 2018 - mdpi.com
In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk
measure in the last two decades. Nevertheless, there is a lively and controverse on-going …
measure in the last two decades. Nevertheless, there is a lively and controverse on-going …
Upper bounds for strictly concave distortion risk measures on moment spaces
The study of worst-case scenarios for risk measures (eg, Value-at-Risk) when the underlying
risk (or portfolio of risks) is not completely specified is a central topic in the literature on …
risk (or portfolio of risks) is not completely specified is a central topic in the literature on …
Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
W Wang, H Xu, T Ma - European Journal of Operational Research, 2023 - Elsevier
In this paper, we propose a novel multivariate shortfall risk measure to evaluate the systemic
risk of a financial system, where the allocation weight is scenario-dependent and optimally …
risk of a financial system, where the allocation weight is scenario-dependent and optimally …
Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions
A general way to study the extremes of a random variable is to consider the family of its
Wang distortion risk measures. This class of risk measures encompasses several indicators …
Wang distortion risk measures. This class of risk measures encompasses several indicators …
New class of distortion risk measures and their tail asymptotics with emphasis on VaR
C Yin, D Zhu - arxiv preprint arxiv:1503.08586, 2015 - arxiv.org
Distortion risk measures are extensively used in finance and insurance applications
because of their appealing properties. We present three methods to construct new class of …
because of their appealing properties. We present three methods to construct new class of …