Worst-case range value-at-risk with partial information
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Cites work
- scientific article; zbMATH DE number 605729 (Why is no real title available?)
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
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- Joint Mixability
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- Robustness and sensitivity analysis of risk measurement procedures
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- The complete mixability and convex minimization problems with monotone marginal densities
- VaR bounds for joint portfolios with dependence constraints
- Worst VaR scenarios
- Worst-case conditional value-at-risk with application to robust portfolio management
Cited in
(31)- Range value-at-risk bounds for unimodal distributions under partial information
- Equivalent distortion risk measures on moment spaces
- Distortion risk measure under parametric ambiguity
- Model uncertainty assessment for symmetric and right-skewed distributions
- Worst-case distortion riskmetrics and weighted entropy with partial information
- Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
- Diversification quotients based on VaR and ES
- Worst case risk measurement: back to the future?
- Worst VaR scenarios
- Robust distortion risk measures
- Worst-case VaR and CVaR
- A worst-case risk measure by G-VaR
- Worst-case moments under partial ambiguity
- Risk bounds with additional information on functionals of the risk vector
- Worst VaR scenarios with given marginals and measures of association
- Similar risks have similar prices: a useful and exact quantification
- Best- and worst-case scenarios for GlueVaR distortion risk measure with incomplete information
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
- A risk-based modeling approach for radiation therapy treatment planning under tumor shrinkage uncertainty
- Worst VaR scenarios: A remark
- Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls
- Risk bounds under right-tail uncertainty
- Optimizing distortion riskmetrics with distributional uncertainty
- Characterizing optimal allocations in quantile-based risk sharing
- Robust Bernoulli mixture models for credit portfolio risk
- Sparse and robust mean-variance portfolio optimization problems
- Testing the mean and variance by e-processes
- Impact of Model Misspecification on the Value-at-Risk of Unimodal T-Symmetric Distributions
- Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness
- Convex risk functionals: representation and applications
- Simulation methods for robust risk assessment and the distorted mix approach
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