Preference robust distortion risk measure and its application

DOI10.1111/MAFI.12379zbMath1522.91322MaRDI QIDQ6054458

Huifu Xu, Wei Wang

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

Yaari's dual theory of choicerisk capital allocationpreference robust distortion risk measureworst-case distortion function

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Related Items (2)

Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making ⋮ Risk measures under model uncertainty: a Bayesian viewpoint

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