Search Results for author: Zhanyi Jiao

Found 2 papers, 0 papers with code

An axiomatic theory for anonymized risk sharing

no code implementations • 16 Aug 2022 • Zhanyi Jiao, Steven Kou, Yang Liu, Ruodu Wang

We study an axiomatic framework for anonymized risk sharing.

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A reverse ES (CVaR) optimization formula

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.

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