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Integration-segregation decisions under general value functions : "create your own bundle - choose 1, 2 or all 3!"
Egozcue, Martín; Massoni, Sébastien; Wong, Wing Keung; … - In: IMA journal of management mathematics 25 (2014) 1, pp. 57-72
Persistent link: https://www.econbiz.de/10010242802
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Beyond the pearson correlation : heavy-tailed risks, weighted gini correlations, and a Gini-type weighted insurance pricing model
Furman, Edward; Zitikis, Ričardas - In: Astin bulletin : the journal of the International … 47 (2017) 3, pp. 919-942
Persistent link: https://www.econbiz.de/10011763689
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Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks
Furman, Edward; Wang, Ruodu; Zitikis, Ričardas - In: Journal of banking & finance 83 (2017), pp. 70-84
Persistent link: https://www.econbiz.de/10011816823
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Weighted risk capital allocations in the presence of systematic risk
Furman, Edward; Kuznetsov, Alexey; Zitikis, Ričardas - In: Insurance / Mathematics & economics 79 (2018), pp. 75-81
Persistent link: https://www.econbiz.de/10011825387
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An axiomatic foundation for the expected shortfall
Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
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Risk measures induced by efficient insurance contracts
Wang, Qiuqi; Wang, Ruodu; Zitikis, Ričardas - In: Insurance / Mathematics & economics 103 (2022), pp. 56-65
Persistent link: https://www.econbiz.de/10013198326