Worst-case moments under partial ambiguity

DOI10.1017/ASB.2023.3zbMATH Open1520.91351MaRDI QIDQ6174089FDOQ6174089

Authors: Qihe Tang, Yunshen Yang 

Publication date: 13 July 2023

Published in: ASTIN Bulletin (Search for Journal in Brave)

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zbMATH Keywords

Wasserstein distancebootstrappingscenario analysispartial ambiguityworst-case risk

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• Partial ambiguity
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• Range value-at-risk bounds for unimodal distributions under partial information
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• An economic premium principle under the dual theory of the smooth ambiguity model

Cited In (2)

• Worst-case large deviations upper bounds for i.i.d. sequences under ambiguity
• Asymptotics of the loss-based tail risk measures in the presence of extreme risks

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