Browsing Mathematics (Faculty of) by Author "Wei, Yunran"
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Risk Management with Non-Convex and Non-Monotone Preferences
Wei, Yunran (University of Waterloo, 2019-06-24)This thesis studies two types of problems, the theory of risk functionals and the risk sharing problem. We put a special focus on a class of non-monotone law-invariant risk functionals, called the signed Choquet integrals. The ... -
Some Results on Multivariate Dependence Modeling
Wei, Yunran (University of Waterloo, 2015-01-14)The goal of this thesis is to solve some problems in dependence modeling. Under special assumptions, we use Tankov [2011]’s result to give sharp bounds on variance of the sum of two random variables with partial information ...