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q-fin.RM2025
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…
q-fin.RM2025
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…