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…
stat.ME2026
Space-filling foldover designs for order-of-addition experiments under Kendall tau distance criteria
Hui Shao, Yaping Wang, Dongdong Xiang +1
Order-of-addition experiments arise when the response depends on the order in which a set of components is added. Since the number of possible orders increases factorially with the…