distortion risk measures 1distributional uncertainty 1moment constraints 1risk measures 1shape constraints 1value-at-risk 1
From the 1 of 2 linked papers with an AI index.
2 papers
q-fin.RM2026
Extremal cases of distortion risk measures with partial information
Mengshuo Zhao, Narayanaswamy Balakrishnan, Chuancun Yin +1
The paper derives the most extreme (best‑ and worst‑case) bounds for Value‑at‑Risk and a wide class of distortion risk measures when only the first two moments and shape properties…
q-fin.RM2024
Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information
Mengshuo Zhao, Chuancun Yin
This paper derives the best- and worst-case GlueVaR distortion risk measure within a unified framework, based on partial information of the underlying distributions and shape infor…