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q-fin.RM2023
Dynamic star-shaped risk measures and -expectations
Dejian Tian, Xunlian Wang
Motivated by the results of static monetary or star-shaped risk measures, the paper investigates the representation theorems in the dynamic framework. We show that dynamic monetary…
q-fin.RM2023
Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty
Weiwei Li, Zixin Feng, Dejian Tian
This paper investigates the robust optimized certainty equivalents and analyzes their properties as risk measures under distribution uncertainty. Building on this, robust generaliz…