Range Value-at-Risk bounds for unimodal distributions under partial information
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DOI: 10.1016/j.insmatheco.2020.05.013
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- Baishuai Zuo & Chuancun Yin, 2024. "Worst-cases of distortion riskmetrics and weighted entropy with partial information," Papers 2405.19075, arXiv.org.
- Mengshuo Zhao & Narayanaswamy Balakrishnan & Chuancun Yin, 2024. "Extremal cases of distortion risk measures with partial information," Papers 2404.13637, arXiv.org, revised Oct 2024.
- Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2024.
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- Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2022. "Robust Distortion Risk Measures," Papers 2205.08850, arXiv.org, revised Mar 2023.
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Keywords
Model risk; Value-at-Risk; Tail Value-at-Risk; Range Value-at-Risk; Convex ordering; Unimodal distributions; Risk bounds;All these keywords.
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