77 citations · 80 across the 10 of their papers we have counts for
4 papers · 1 filter
Hidden Dependence and Aggregate Tail Risk
Corrado De Vecchi, Max Nendel, Steven Vanduffel
We study risk aggregation problems for arbitrary non-decreasing aggregation functions and tail risk measures under dependence uncertainty in a distributionally robust setting. To t…
Robust distortion risk metrics with Wasserstein and Unimodal Constraints
Peng Liu, Steven Vanduffel, Yi Xia +1
We establish sharp upper and lower bounds for distortion risk metrics under distributional uncertainty. The uncertainty sets are characterized by four key features of the underlyin…
Higher moments under dependence uncertainty with applications in insurance
Carole Bernard, Jinghui Chen, Steven Vanduffel
Recent studies have highlighted the significance of higher-order moments - such as coskewness - in portfolio optimization within the financial domain. This paper extends that focus…
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,…