no code implementations • 16 Aug 2022 • Zhanyi Jiao, Steven Kou, Yang Liu, Ruodu Wang
We study an axiomatic framework for anonymized risk sharing.
no code implementations • 4 Mar 2022 • Yuanying Guan, Zhanyi Jiao, Ruodu Wang
The celebrated Expected Shortfall (ES) optimization formula implies that ES at a fixed probability level is the minimum of a linear real function plus a scaled mean excess function.