| Publication | Date of Publication | Type |
|---|
A new characterization of second-order stochastic dominance
Insurance Mathematics \& Economics | 2025-01-17 | Paper |
On the existence of powerful p-values and e-values for composite hypotheses
The Annals of Statistics | 2025-01-03 | Paper |
True and false discoveries with independent and sequential \(e\)-values
The Canadian Journal of Statistics | 2024-11-24 | Paper |
Risk concentration and the mean-expected shortfall criterion
Mathematical Finance | 2024-11-20 | Paper |
A Reverse ES (CVaR) Optimization Formula
North American Actuarial Journal | 2024-11-18 | Paper |
\(e\)-values as unnormalized weights in multiple testing
Biometrika | 2024-11-13 | Paper |
Invariant correlation under marginal transforms
Journal of Multivariate Analysis | 2024-10-08 | Paper |
False discovery rate control with e-values
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-09-10 | Paper |
Post-selection inference for e-value based confidence intervals
Electronic Journal of Statistics | 2024-09-03 | Paper |
Calibrating Distribution Models from PELVE
North American Actuarial Journal | 2024-08-05 | Paper |
Ruodu Wang's contribution to the discussion of `Estimating means of bounded random variables by betting' by Waudby-Smith and Ramdas
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-07-09 | Paper |
A framework for measures of risk under uncertainty
Finance and Stochastics | 2024-04-02 | Paper |
Testing with \(\mathrm{p}^*\)-values: between p-values, mid p-values, and e-values
Bernoulli | 2024-03-26 | Paper |
Merging sequential e-values via martingales
Electronic Journal of Statistics | 2024-03-25 | Paper |
Diversification quotients based on VaR and ES
Insurance Mathematics \& Economics | 2024-02-13 | Paper |
Trade-off Between Validity and Efficiency of Merging P-Values Under Arbitrary Dependence
STATISTICA SINICA | 2023-11-09 | Paper |
Risk Aversion and Insurance Propensity
| 2023-10-13 | Paper |
Choquet Regularization for Continuous-Time Reinforcement Learning
SIAM Journal on Control and Optimization | 2023-10-11 | Paper |
Ordering and inequalities for mixtures on risk aggregation
Mathematical Finance | 2023-09-28 | Paper |
Bayes risk, elicitability, and the Expected Shortfall
Mathematical Finance | 2023-09-28 | Paper |
Pairwise counter-monotonicity
Insurance Mathematics \& Economics | 2023-07-18 | Paper |
Confidence and discoveries with \(e\)-values
Statistical Science | 2023-07-07 | Paper |
One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles
SIAM Journal on Financial Mathematics | 2023-07-04 | Paper |
On the existence of powerful p-values and e-values for composite hypotheses
| 2023-05-25 | Paper |
An impossibility theorem on capital allocation
Scandinavian Actuarial Journal | 2023-04-18 | Paper |
PELVE: probability equivalent level of VaR and ES
Journal of Econometrics | 2023-04-14 | Paper |
Multiple testing under negative dependence
| 2022-12-19 | Paper |
Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory
Journal of Mathematical Economics | 2022-12-06 | Paper |
Star-Shaped Risk Measures
Operations Research | 2022-12-01 | Paper |
Martingale Transports and Monge Maps
| 2022-09-28 | Paper |
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Mathematics of Operations Research | 2022-09-26 | Paper |
Parametric measures of variability induced by risk measures
Insurance Mathematics \& Economics | 2022-09-14 | Paper |
Optimal insurance to maximize RDEU under a distortion-deviation premium principle
Insurance Mathematics \& Economics | 2022-05-12 | Paper |
The directional optimal transport
The Annals of Applied Probability | 2022-05-06 | Paper |
Admissible ways of merging \(p\)-values under arbitrary dependence
The Annals of Statistics | 2022-03-23 | Paper |
Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient
Operations Research Letters | 2022-03-11 | Paper |
Risk measures induced by efficient insurance contracts
Insurance Mathematics \& Economics | 2022-03-10 | Paper |
Risk aggregation under dependence uncertainty and an order constraint
Insurance Mathematics \& Economics | 2022-03-10 | Paper |
Robustness in the optimization of risk measures
Operations Research | 2022-02-18 | Paper |
Distributional transforms, probability distortions, and their applications
Mathematics of Operations Research | 2022-02-08 | Paper |
Competitive equilibria in a comonotone market
Economic Theory | 2022-02-04 | Paper |
Simultaneous Optimal Transport
| 2022-01-10 | Paper |
Scenario-based risk evaluation
Finance and Stochastics | 2021-11-02 | Paper |
Cash-subadditive risk measures without quasi-convexity
| 2021-10-23 | Paper |
E-values: calibration, combination and applications
The Annals of Statistics | 2021-09-28 | Paper |
A theory for measures of tail risk
Mathematics of Operations Research | 2021-09-14 | Paper |
Regulatory arbitrage of risk measures
Quantitative Finance | 2021-07-16 | Paper |
Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
Journal of Multivariate Analysis | 2021-06-22 | Paper |
Star-shaped Risk Measures
| 2021-03-29 | Paper |
Risk functionals with convex level sets
Mathematical Finance | 2021-03-23 | Paper |
Combining \(p\)-values via averaging
Biometrika | 2021-01-21 | Paper |
Characterization, robustness, and aggregation of signed Choquet integrals
Mathematics of Operations Research | 2021-01-08 | Paper |
Distortion riskmetrics on general spaces
ASTIN Bulletin | 2020-12-13 | Paper |
Quantile-based risk sharing
Operations Research | 2020-10-12 | Paper |
False discovery rate control with e-values
| 2020-09-06 | Paper |
Characterizing optimal allocations in quantile-based risk sharing
Insurance Mathematics \& Economics | 2020-08-03 | Paper |
Quantile-based risk sharing with heterogeneous beliefs
Mathematical Programming. Series A. Series B | 2020-06-15 | Paper |
Risk aversion in regulatory capital principles
SIAM Journal on Financial Mathematics | 2020-06-08 | Paper |
Is the inf-convolution of law-invariant preferences law-invariant?
Insurance Mathematics \& Economics | 2020-03-20 | Paper |
Convex risk functionals: representation and applications
Insurance Mathematics \& Economics | 2020-02-03 | Paper |
Weak comonotonicity
European Journal of Operational Research | 2020-01-08 | Paper |
An efficient approach to quantile capital allocation and sensitivity analysis
Mathematical Finance | 2019-12-05 | Paper |
Sums of standard uniform random variables
Journal of Applied Probability | 2019-10-07 | Paper |
Dual utilities on risk aggregation under dependence uncertainty
Finance and Stochastics | 2019-09-19 | Paper |
Compatible matrices of Spearman's rank correlation
Statistics \& Probability Letters | 2019-09-05 | Paper |
Centers of probability measures without the mean
Journal of Theoretical Probability | 2019-07-18 | Paper |
CreditRisk\(^+\) model with dependent risk factors
North American Actuarial Journal | 2019-05-28 | Paper |
Extremal dependence concepts
Statistical Science | 2018-10-02 | Paper |
General convex order on risk aggregation
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Composite Bernstein copulas
ASTIN Bulletin | 2018-06-04 | Paper |
Collective risk models with dependence uncertainty
ASTIN Bulletin | 2018-06-04 | Paper |
Worst-case range value-at-risk with partial information
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Asymptotic equivalence of risk measures under dependence uncertainty
Mathematical Finance | 2018-04-13 | Paper |
Pareto-optimal reinsurance arrangements under general model settings
Insurance Mathematics \& Economics | 2017-11-23 | Paper |
Risk bounds for factor models
Finance and Stochastics | 2017-07-21 | Paper |
Computation of credit portfolio loss distribution by a cross entropy method
Journal of Applied Mathematics and Computing | 2016-10-25 | Paper |
Bernoulli and tail-dependence compatibility
The Annals of Applied Probability | 2016-08-23 | Paper |
Joint Mixability
Mathematics of Operations Research | 2016-08-10 | Paper |
Diversification limit of quantiles under dependence uncertainty
Extremes | 2016-06-07 | Paper |
Seven proofs for the subadditivity of expected shortfall
Dependence Modeling | 2016-01-21 | Paper |
Aggregation-robustness and model uncertainty of regulatory risk measures
Finance and Stochastics | 2015-11-09 | Paper |
How superadditive can a risk measure be?
SIAM Journal on Financial Mathematics | 2015-10-21 | Paper |
Current open questions in complete mixability
Probability Surveys | 2015-08-25 | Paper |
On aggregation sets and lower-convex sets
Journal of Multivariate Analysis | 2015-06-18 | Paper |
Elicitable distortion risk measures: a concise proof
Statistics \& Probability Letters | 2015-06-11 | Paper |
Extreme negative dependence and risk aggregation
Journal of Multivariate Analysis | 2015-03-24 | Paper |
Detecting complete and joint mixability
Journal of Computational and Applied Mathematics | 2015-01-08 | Paper |
Asymptotic bounds for the distribution of the sum of dependent random variables
Journal of Applied Probability | 2014-10-15 | Paper |
Sum of arbitrarily dependent random variables
Electronic Journal of Probability | 2014-09-24 | Paper |
Jackknife Empirical Likelihood Intervals for Spearman’s Rho
North American Actuarial Journal | 2014-07-19 | Paper |
Risk aggregation with dependence uncertainty
Insurance Mathematics \& Economics | 2014-06-23 | Paper |
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
Insurance Mathematics \& Economics | 2014-06-23 | Paper |
Empirical likelihood test for high dimensional linear models
Statistics \& Probability Letters | 2014-06-05 | Paper |
Jackknife empirical likelihood method for some risk measures and related quantities
Insurance Mathematics \& Economics | 2014-04-10 | Paper |
Jackknife empirical likelihood for parametric copulas
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
Tests for covariance matrix with fixed or divergent dimension
The Annals of Statistics | 2013-12-11 | Paper |
Jackknife empirical likelihood test for equality of two high dimensional means
| 2013-05-13 | Paper |
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
Finance and Stochastics | 2013-04-02 | Paper |
Advances in complete mixability
Journal of Applied Probability | 2012-07-08 | Paper |
A class of multivariate copulas with bivariate Fréchet marginal copulas
Insurance Mathematics \& Economics | 2012-02-10 | Paper |
The complete mixability and convex minimization problems with monotone marginal densities
Journal of Multivariate Analysis | 2011-08-16 | Paper |
An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
| N/A | Paper |
Testing mean and variance by e-processes
| N/A | Paper |
Invariant correlation under marginal transforms
| N/A | Paper |
Max-stability under first-order stochastic dominance
| N/A | Paper |
Combining exchangeable p-values
| N/A | Paper |
Allocation Mechanisms in Decentralized Exchange Markets with Frictions
| N/A | Paper |
Sub-uniformity of harmonic mean p-values
| N/A | Paper |
