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q-fin.RM2026
Dual Representation of Robust Risk Measures and Uncertainty Sets
Marlon R. Moresco, Marcelo Righi, Silvana M. Pesenti
We consider robust risk measures that arise as worst-case values of convex risk measures evaluated on uncertainty sets. We characterize continuity properties of robust risk measure…
q-fin.RM2026
Ranking Metrics: Extending Acceptability and Performance Indexes
Asmerilda Hitaj, Elisa Mastrogiacomo, Ilaria Peri +1
This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk…
q-fin.RM2024
A note on robust convex risk measures
Marcelo Righi, Fernanda Müller
In this paper, we refine and generalize closed forms for worst-case law invariant convex risk measures with uncertainty sets based on: i) closed balls under -norms and Wasserste…