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Distortion risk measure
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#	Item
1	Asymptotic Equivalence of Risk Measures under Dependence Uncertainty Jun Cai∗, Haiyan Liu† and Ruodu Wang‡ March 23, 2016§ Abstract Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2016-03-22 21:17:22 Financial risk Mathematical finance Actuarial science Applied mathematics Economy Finance Coherent risk measure Expected shortfall Risk measure Distortion risk measure Risk Variance
2	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
3	Risk Measures Recent Debates Robustness and Aggregation Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-09-06 17:07:12 Financial risk Mathematical finance Actuarial science Economy Finance Money Risk measure Value at risk Risk Expected shortfall Distortion risk measure Robustness
4	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
5	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
6	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

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