Zobrazeno 1 - 10
of 16
pro vyhledávání: '"Qiuqi Wang"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::818196838c985cf394a0054b77066023
https://doi.org/10.2139/ssrn.4346325
https://doi.org/10.2139/ssrn.4346325
Publikováno v:
Mathematical Finance. 31:1190-1217
Motivated by recent advances on elicitability of risk measures and practical considerations of risk optimization, we introduce the notions of Bayes pairs and Bayes risk measures. Bayes risk measures are the counterpart of elicitable risk measures, ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c4c95cb5bfaaa41c4ac92e0fc7685d1e
https://doi.org/10.1111/mafi.12313
https://doi.org/10.1111/mafi.12313
Publikováno v:
ASTIN Bulletin. 50:827-851
The class of distortion riskmetrics is defined through signed Choquet integrals, and it includes many classic risk measures, deviation measures, and other functionals in the literature of finance and actuarial science. We obtain characterization, fin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::045287e548d75591cccb62aa4151250c
https://doi.org/10.1017/asb.2020.14
https://doi.org/10.1017/asb.2020.14
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::261acfc894cc4bd2de676a134498f1e4
https://doi.org/10.2139/ssrn.4206997
https://doi.org/10.2139/ssrn.4206997
Publikováno v:
Arabian Journal of Geosciences. 14
For small earthen dams, the stability and performance depend heavily on the leakage caused by various reasons, such as aging and lack of maintenance. The effective assessments of these dams are crucial prior to the possible engineering interventions.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4637a834b8d53aaebfa58c660d6c71ba
https://doi.org/10.1007/s12517-021-07005-6
https://doi.org/10.1007/s12517-021-07005-6
The Expected Shortfall (ES) is one of the most important regulatory risk measures in finance, insurance, and statistics, which has recently been characterized via sets of axioms from perspectives of portfolio risk management and statistics. Meanwhile
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::24e11dfa55c12acb434ced2767fbcd39
Optimization of distortion riskmetrics with distributional uncertainty has wide applications in finance and operations research. Distortion riskmetrics include many commonly applied risk measures and deviation measures, which are not necessarily mono
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4ec0a66858a58add19717dc890b45b45
http://arxiv.org/abs/2011.04889
http://arxiv.org/abs/2011.04889
Publikováno v:
SSRN Electronic Journal.
Motivated by recent advances on elicitability of risk measures and practical considerations of risk optimization, we introduce the notions of Bayes pairs and Bayes risk measures. Bayes risk measures are the counterpart of elicitable risk measures, ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::095d31de611f802679420ed08ac45ab3
https://doi.org/10.2139/ssrn.3708379
https://doi.org/10.2139/ssrn.3708379
Autor:
Yue Kuen Kwok, Qiuqi Wang
Publikováno v:
SSRN Electronic Journal.
We analyze the real option signaling game models of debt financing of a risky project under information asymmetry, where the firm quality is only known to the firm management but not outsiders. The firm decides on the optimal investment timing of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f6234f970ba0a822c0ca91ca3200fab
https://doi.org/10.2139/ssrn.3442989
https://doi.org/10.2139/ssrn.3442989
Publikováno v:
SSRN Electronic Journal.
The class of distortion riskmetrics is defined through signed Choquet integrals, and it includes many classic risk measures, deviation measures, and other functionals in the literature of finance and actuarial science. We obtain characterization, fin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f8d5e5401083f678be30db6cfa94ed53
https://doi.org/10.2139/ssrn.3510363
https://doi.org/10.2139/ssrn.3510363