{"id":"https://openalex.org/W3123580226","doi":"https://doi.org/10.1137/18m121842x","title":"Risk Aversion in Regulatory Capital Principles","display_name":"Risk Aversion in Regulatory Capital Principles","publication_year":2020,"publication_date":"2020-01-01","ids":{"openalex":"https://openalex.org/W3123580226","doi":"https://doi.org/10.1137/18m121842x","mag":"3123580226"},"language":"en","primary_location":{"id":"doi:10.1137/18m121842x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/18m121842x","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066155007","display_name":"Tiantian Mao","orcid":"https://orcid.org/0000-0003-3428-004X"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Tiantian Mao","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5032727911","display_name":"Ruodu Wang","orcid":"https://orcid.org/0000-0003-3849-4555"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Ruodu Wang","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.7326,"has_fulltext":false,"cited_by_count":44,"citation_normalized_percentile":{"value":0.93716003,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":"11","issue":"1","first_page":"169","last_page":"200"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9876000285148621,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9871000051498413,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/time-consistency","display_name":"Time consistency","score":0.7075071334838867},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.6209411025047302},{"id":"https://openalex.org/keywords/spectral-risk-measure","display_name":"Spectral risk measure","score":0.5971518754959106},{"id":"https://openalex.org/keywords/risk-aversion","display_name":"Risk aversion (psychology)","score":0.5940253734588623},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.591053307056427},{"id":"https://openalex.org/keywords/diversification","display_name":"Diversification (marketing strategy)","score":0.5775167942047119},{"id":"https://openalex.org/keywords/coherent-risk-measure","display_name":"Coherent risk measure","score":0.5611466765403748},{"id":"https://openalex.org/keywords/economic-capital","display_name":"Economic capital","score":0.5321713089942932},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.47878849506378174},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4707803428173065},{"id":"https://openalex.org/keywords/stochastic-dominance","display_name":"Stochastic dominance","score":0.44512036442756653},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.44372352957725525},{"id":"https://openalex.org/keywords/dynamic-risk-measure","display_name":"Dynamic risk measure","score":0.41355302929878235},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.3468547463417053},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.32133084535598755},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.29457730054855347},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.17651602625846863}],"concepts":[{"id":"https://openalex.org/C11534374","wikidata":"https://www.wikidata.org/wiki/Q7805280","display_name":"Time consistency","level":2,"score":0.7075071334838867},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.6209411025047302},{"id":"https://openalex.org/C69257216","wikidata":"https://www.wikidata.org/wiki/Q7575204","display_name":"Spectral risk measure","level":4,"score":0.5971518754959106},{"id":"https://openalex.org/C129915516","wikidata":"https://www.wikidata.org/wiki/Q17083550","display_name":"Risk aversion (psychology)","level":3,"score":0.5940253734588623},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.591053307056427},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.5775167942047119},{"id":"https://openalex.org/C148845407","wikidata":"https://www.wikidata.org/wiki/Q5141358","display_name":"Coherent risk measure","level":4,"score":0.5611466765403748},{"id":"https://openalex.org/C57495647","wikidata":"https://www.wikidata.org/wiki/Q295385","display_name":"Economic capital","level":3,"score":0.5321713089942932},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.47878849506378174},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4707803428173065},{"id":"https://openalex.org/C33252445","wikidata":"https://www.wikidata.org/wiki/Q3713315","display_name":"Stochastic dominance","level":2,"score":0.44512036442756653},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.44372352957725525},{"id":"https://openalex.org/C167548438","wikidata":"https://www.wikidata.org/wiki/Q5319012","display_name":"Dynamic risk measure","level":4,"score":0.41355302929878235},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.3468547463417053},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.32133084535598755},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.29457730054855347},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.17651602625846863},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/18m121842x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/18m121842x","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.4099999964237213}],"awards":[{"id":"https://openalex.org/G5280584119","display_name":null,"funder_award_id":"RGPIN-2018-03823/RGPAS-2018-522590","funder_id":"https://openalex.org/F4320334593","funder_display_name":"Natural Sciences and Engineering Research Council of Canada"},{"id":"https://openalex.org/G5602278823","display_name":null,"funder_award_id":"WK204160028","funder_id":"https://openalex.org/F4320335787","funder_display_name":"Fundamental Research Funds for the Central Universities"},{"id":"https://openalex.org/G604295978","display_name":null,"funder_award_id":"71671176, 71871208, 71921001","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320310284","display_name":"Society of Actuaries","ror":"https://ror.org/03zn9xn73"},{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320334593","display_name":"Natural Sciences and Engineering Research Council of Canada","ror":"https://ror.org/01h531d29"},{"id":"https://openalex.org/F4320335787","display_name":"Fundamental Research Funds for the Central Universities","ror":null}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W186520755","https://openalex.org/W1575356971","https://openalex.org/W1591570634","https://openalex.org/W1916820605","https://openalex.org/W1968514970","https://openalex.org/W1969897341","https://openalex.org/W1975884238","https://openalex.org/W1995118028","https://openalex.org/W2008712683","https://openalex.org/W2010386376","https://openalex.org/W2013139860","https://openalex.org/W2019291268","https://openalex.org/W2023147992","https://openalex.org/W2025989322","https://openalex.org/W2026552333","https://openalex.org/W2031661360","https://openalex.org/W2046396733","https://openalex.org/W2056819186","https://openalex.org/W2061260390","https://openalex.org/W2070429790","https://openalex.org/W2136854143","https://openalex.org/W2139626805","https://openalex.org/W2161088186","https://openalex.org/W2167264394","https://openalex.org/W2168260491","https://openalex.org/W2168376266","https://openalex.org/W2950148913","https://openalex.org/W3101267821","https://openalex.org/W3121841769","https://openalex.org/W3122495946","https://openalex.org/W3122582823","https://openalex.org/W3123093843","https://openalex.org/W3124098225","https://openalex.org/W3124592362","https://openalex.org/W3125267119","https://openalex.org/W3125526186"],"related_works":["https://openalex.org/W2403950222","https://openalex.org/W3125265748","https://openalex.org/W2153969568","https://openalex.org/W2291382242","https://openalex.org/W3180712247","https://openalex.org/W2006012272","https://openalex.org/W3122440621","https://openalex.org/W2550664557","https://openalex.org/W4387053254","https://openalex.org/W2998948027"],"abstract_inverted_index":{"We":[0,92,122],"incorporate":[1],"a":[2,109],"notion":[3,45,81],"of":[4,21,40,46,75,82,96,118],"risk":[5,42,47,77,83,90,98,120,128,139],"aversion":[6,48,84],"favoring":[7],"prudent":[8],"decisions":[9],"from":[10],"financial":[11],"institutions":[12],"into":[13],"regulatory":[14,31],"capital":[15,32],"calculation":[16,33],"principles.":[17],"In":[18],"the":[19,38,94,116,133],"context":[20],"Basel":[22],"III":[23],"and":[24,68,107,141,145],"IV":[25],"as":[26,28,88,108],"well":[27],"Solvency":[29],"II,":[30],"is":[34,85],"carried":[35],"out":[36],"through":[37,57,69],"tools":[39],"monetary":[41,76],"measures.":[43,91,121],"The":[44,73],"that":[49],"we":[50,111,137],"focus":[51],"on":[52,115],"has":[53],"four":[54],"equivalent":[55],"formulations:":[56],"consistency":[58],"with":[59],"second-order":[60],"stochastic":[61],"dominance,":[62],"conditional":[63],"expectations,":[64],"or":[65],"portfolio":[66],"diversification,":[67],"expected":[70],"social":[71],"impact.":[72],"class":[74,95],"measures":[78,99,129],"representing":[79],"this":[80],"referred":[86],"to":[87],"consistent":[89,97,127],"characterize":[93],"by":[100],"establishing":[101],"an":[102],"Expected":[103],"Shortfall":[104],"(ES)-based":[105],"representation,":[106],"by-product,":[110],"obtain":[112],"new":[113,148],"results":[114],"representation":[117,135],"convex":[119],"present":[123],"several":[124,147],"examples":[125],"where":[126],"naturally":[130],"appear.":[131],"Using":[132],"obtained":[134],"results,":[136],"study":[138],"sharing":[140],"optimal":[142],"investment":[143],"problems":[144],"find":[146],"analytical":[149],"solutions.":[150]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":8},{"year":2024,"cited_by_count":7},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":7},{"year":2020,"cited_by_count":6},{"year":2019,"cited_by_count":2},{"year":2016,"cited_by_count":2}],"updated_date":"2026-08-01T09:00:35.917206","created_date":"2025-10-10T00:00:00"}