Worst-Case Range Value-at-Risk with Partial Information
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Publication:4635247
DOI10.1137/17M1126138zbMATH Open1408.91240OpenAlexW2591206341MaRDI QIDQ4635247FDOQ4635247
Ruodu Wang, Hui Shao, Jingping Yang, Lujun Li
Publication date: 16 April 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m1126138
Multivariate distribution of statistics (62H10) Statistical methods; risk measures (91G70) Inequalities; stochastic orderings (60E15)
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Cited In (17)
- Range value-at-risk bounds for unimodal distributions under partial information
- Equivalent distortion risk measures on moment spaces
- Distortion risk measure under parametric ambiguity
- Diversification quotients based on VaR and ES
- Robust distortion risk measures
- Worst VaR scenarios
- A worst-case risk measure by G-VaR
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- Risk bounds with additional information on functionals of the risk vector
- Similar risks have similar prices: a useful and exact quantification
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
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- Convex risk functionals: representation and applications
- Simulation methods for robust risk assessment and the distorted mix approach
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