Wei Wang – Optimization Online

A Multivariate Loss Ratio Approach for Systemic Risk Measurement and Allocation

Published: 2025/09/23

Finance and Economics, Multi-Criteria Optimization, Other Topics multivariate loss ratio measure, risk capital allocation, risk management, risk tolerance degree, sensitivities

The primary challenges in systemic risk measurement involve determining an overall reserve level of risk capital and allocating it to different components based on their systemic relevance. In this paper, we introduce a multivariate loss ratio measure (MLRM), which is the minimum amount of capital to be injected into a financial system such that the … Read more

Robust Spectral Risk Optimization When Information on Risk Spectrum Is Incomplete

Published: 2020/06/25

Wei Wang

Huifu Xu

Robust Optimization, Stochastic Programming alternating iterative algorithm, robust spectral risk measure, robust spectral risk optimization, statistical robustness, step-like approximation

Spectral risk measure (SRM) is a weighted average of value at risk (VaR) where the weighting function (also known as risk spectrum or distortion function) characterizes the decision maker’s risk attitude. In this paper, we consider the case where the decision maker’s risk spectrum is ambiguous and introduce a robust SRM model based on the … Read more