Robust distortion risk measures
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Recommendations
- Worst-case distortion risk measure with application to robust portfolio selection
- Robustness in the optimization of risk measures
- Restricted risk measures and robust optimization
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Robustness regions for measures of risk aggregation
Cites work
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- Ambiguity in portfolio selection
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- Approximated Convex Envelope of a Function
- Assessing financial model risk
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- Bivariate Survival Models Induced by Frailties
- Bounds for functions of dependent risks
- Characterization of a Hilbert vector lattice by the metric projection onto its positive cone
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- Dual utilities on risk aggregation under dependence uncertainty
- Explicit ruin formulas for models with dependence among risks
- External risk measures and Basel accords
- How to estimate the value at risk under incomplete information
- scientific article; zbMATH DE number 3122046 (Why is no real title available?)
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- scientific article; zbMATH DE number 3390139 (Why is no real title available?)
- Improved analytical bounds for gambler's ruin probabilities
- Quantifying distributional model risk via optimal transport
- Range value-at-risk bounds for unimodal distributions under partial information
- Remarks on quantiles and distortion risk measures
- Risk bounds for factor models
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- Robust risk measurement and model risk
- Robust sensitivity analysis for stochastic systems
- Robustifying convex risk measures for linear portfolios: a nonparametric approach
- Robustness and sensitivity analysis of risk measurement procedures
- Robustness regions for measures of risk aggregation
- Sharing the value‐at‐risk under distributional ambiguity
- Stochastic bounds on sums of dependent risks
- Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
- The complete mixability and convex minimization problems with monotone marginal densities
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- Upper bounds for strictly concave distortion risk measures on moment spaces
- Value-at-risk bounds with two-sided dependence information
- Worst-case range value-at-risk with partial information
Cited in
(27)- Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?
- Random distortion risk measures
- Worst-case risk with unspecified risk preferences
- Distributional robustness, stochastic divergences, and the quadrangle of risk
- Worst-case distortion risk measure with application to robust portfolio selection
- Distortion risk measures: prudence, coherence, and the expected shortfall
- Monotonic mean-deviation risk measures
- Best- and worst-case scenarios for GlueVaR distortion risk measure with incomplete information
- Generalized expected-shortfalls based on distortion risk measures
- Robust reinforcement learning with dynamic distortion risk measures
- Robust -quantiles and extremal distributions
- Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls
- Worst-case values of target semi-variances with applications to robust portfolio selection
- Risk bounds under right-tail uncertainty
- Pareto-optimal peer-to-peer risk sharing with robust distortion risk measures
- Worst-case reinsurance strategy with likelihood ratio uncertainty
- Robust elicitable functionals
- Optimal transport divergences induced by scoring functions
- On the asymptotic normality of trimmed and winsorized L -statistics
- Short communication: a note on robust risk-sharing with convex risk measures
- Optimal investment and equilibrium pricing under ambiguity
- Distributionally robust insurance under the Wasserstein distance
- How sensitive are tail-related risk measures in a contamination neighbourhood?
- Robust Bernoulli mixture models for credit portfolio risk
- Optimal Reinsurance Design under Ambiguity and Value-at-Risk Preference with Wasserstein and L k Distance Metrics
- Robust stochastic orders and applications to elliptical distributions under parametric ambiguity
- Range value at risk under model uncertainty
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