Robust spectral risk optimization when information on risk spectrum is incomplete
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Cites work
- A General Qualitative Definition of Robustness
- Comparative and qualitative robustness for law-invariant risk measures
- Curvature of the Probability Weighting Function
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Distorted probabilities and choice under risk
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- Minimal representation of insurance prices
- Multistage stochastic optimization
- On the rate of convergence in Wasserstein distance of the empirical measure
- Optimization with reference-based robust preference constraints
- Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
- Risk preferences on the space of quantile functions
- Robust Statistics
- Robustifying convex risk measures for linear portfolios: a nonparametric approach
- Robustness and sensitivity analysis of risk measurement procedures
- Statistical robustness in utility preference robust optimization models
- The Cutting-Plane Method for Solving Convex Programs
- The distortion principle for insurance pricing: properties, identification and robustness
- The Dual Theory of Choice under Risk
- The natural Banach space for version independent risk measures
Cited in
(16)- Spectral risk measures: the risk quadrangle and optimal approximation
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach
- Preference Robust Modified Optimized Certainty Equivalent
- Preference Robust Optimization for Choice Functions on the Space of CDFs
- Preference robust distortion risk measure and its application
- 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
- Worst-case risk with unspecified risk preferences
- Stackelberg risk preference design
- Preference ambiguity and robustness in multistage decision making
- Optimizing distortion riskmetrics with distributional uncertainty
- Distributional utility preference robust optimization models in multi-attribute decision making
- Bi-attribute utility preference robust optimization: a continuous piecewise linear approximation approach
- Risk-adaptive approaches to stochastic optimization: a survey
- Risk-averse two-stage distributionally robust mixed-integer optimization with decision-dependent ambiguity sets
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