42 citations · 46 across the 13 of their papers we have counts for
3 papers · 1 filter
Robust distortion riskmetrics over Bregman--Wasserstein balls and their intersections
Peng Liu, Steven Vanduffel, Carole Bernard
We study the worst-case values of distortion riskmetrics over Bregman--Wasserstein balls around a reference distribution. Unlike the squared -Wasserstein distance, Bregman--Wass…
Preference robust distortion risk measures
Carole Bernard, Silvana M. Pesenti
We introduce a framework for preference-robust decision making when preferences over risk are modelled through generalised distortion risk measures. Unlike distributional robustnes…
Robust Distortion Risk Measures
Carole Bernard, Silvana M. Pesenti, Steven Vanduffel
The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well-informed decisions. In this paper,…