2 papers
q-fin.RM2024
Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information
Mengshuo Zhao, Chuancun Yin
This paper derives the best- and worst-case GlueVaR distortion risk measure within a unified framework, based on partial information of the underlying distributions and shape infor…
q-fin.RM2024
Extremal cases of distortion risk measures with partial information
Mengshuo Zhao, Narayanaswamy Balakrishnan, Chuancun Yin +1
This paper investigates the impact of distributional uncertainty on key risk measures under the partial knowledge of underlying distributions characterized by their first two momen…