42 citations · 46 across the 13 of their papers we have counts for
Showing 2026Show all
2 papers · 1 filter
q-fin.RM2026
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…
q-fin.RM2026
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…