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20152022
most citedImproved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm

4 citations · 5 across the 4 of their papers we have counts for

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math.PR2022

Bounds on Choquet Risk Measures in Finite Product Spaces with Ambiguous Marginals

Mario Ghossoub, David Saunders, Kelvin Shuangjian Zhang

We investigate the problem of finding upper and lower bounds for a Choquet risk measure of a nonlinear function of two risk factors, when the marginal distributions of the risk fac…