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Utility-based shortfall risk : efficient computations via Monte Carlo

Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392

Persistent link: https://www.econbiz.de/10011969327

Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making

Wang, Wei; Xu, Huifu - In: Computational management science 20 (2023) 1, pp. 1-51

Persistent link: https://www.econbiz.de/10014393426

Quantitative statistical robustness for tail-dependent law invariant risk measures

Wang, Wei; Xu, Huifu; Ma, Tiejun - In: Quantitative finance 21 (2021) 10, pp. 1669-1685

Persistent link: https://www.econbiz.de/10012653706

Insurance premium-based shortfall risk measure induced by cumulative prospect theory

Zhang, Sainan; Xu, Huifu - In: Computational management science 19 (2022) 4, pp. 703-738

Persistent link: https://www.econbiz.de/10013447511

Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

Wang, Wei; Xu, Huifu; Ma, Tiejun - In: European journal of operational research : EJOR 306 (2023) 1, pp. 322-347

Persistent link: https://www.econbiz.de/10014278005

Preference robust distortion risk measure and its application

Wang, Wei; Xu, Huifu - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 389-434

Persistent link: https://www.econbiz.de/10014278678

A dual-response forwarding approach for containerizing air cargoes under uncertainty, based on stochastic mixed 0-1 programming

Wu, Yue - In: European journal of operational research : EJOR 207 (2010) 1, pp. 152-164

Persistent link: https://www.econbiz.de/10003997183

Generalized Shortfall Risk Measure Based on Insurance Premium

Zhang, Sainan; Xu, Huifu - 2021

Utility-based shortfall risk (SR) measure proposed by (F\”ollmer and Schied, 2002) has been well studied in risk management and finance. In this paper, we revisit the concept from insurance premium perspective. We show under some moderate conditions that the indifference equation-based...

Persistent link: https://www.econbiz.de/10013232856

Evaluation and simulation for ecology risk of urban expansion based on SERA model : taking Selangor, Malaysia as an example

Shi, Xiaoxia; Wu, Yue; Zhang, Han - In: Modeling risk management in sustainable construction, (pp. 259-266). 2011

Persistent link: https://www.econbiz.de/10008749541