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distortion risk measures 1distributional uncertainty 1moment constraints 1risk measures 1shape constraints 1value-at-risk 1

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1 paper

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…