no code implementations • 4 Dec 2023 • Tim J. Boonen, Xia Han
The structure of these optimal indemnities remains unchanged if there is a limit on the insurance premium budget.
no code implementations • 2 Dec 2023 • Xia Han, Ruodu Wang, Qinyu Wu
The form is a combination of the deviation-related functional and the expectation, and such measures belong to the class of consistent risk measures.
no code implementations • 9 Jan 2023 • Xia Han, Liyuan Lin, Ruodu Wang
The diversification quotient (DQ) is recently introduced for quantifying the degree of diversification of a stochastic portfolio model.
no code implementations • 17 Aug 2022 • Xia Han, Ruodu Wang, Xun Yu Zhou
We propose \emph{Choquet regularizers} to measure and manage the level of exploration for reinforcement learning (RL), and reformulate the continuous-time entropy-regularized RL problem of Wang et al. (2020, JMLR, 21(198)) in which we replace the differential entropy used for regularization with a Choquet regularizer.
no code implementations • 28 Jun 2022 • Xia Han, Liyuan Lin, Ruodu Wang
We establish the first axiomatic theory for diversification indices using six intuitive axioms: non-negativity, location invariance, scale invariance, rationality, normalization, and continuity.
no code implementations • 23 Oct 2021 • Xia Han, Qiuqi Wang, Ruodu Wang, Jianming Xia
In the literature of risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable contingent claims.
no code implementations • 11 Aug 2021 • Xia Han, Bin Wang, Ruodu Wang, Qinyu Wu
Recently, Wang and Zitikis (2021) put forward four economic axioms for portfolio risk assessment and provide the first economic axiomatic foundation for the family of ES.