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Robust Distortion Risk Measures

Citations

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Cited by:

  1. Marlon R. Moresco & Mélina Mailhot & Silvana M. Pesenti, 2025. "Uncertainty Propagation and Dynamic Robust Risk Measures," Mathematics of Operations Research, INFORMS, vol. 50(3), pages 1939-1964, August.
  2. Zuo, Baishuai & Yin, Chuancun, 2025. "Worst-case distortion riskmetrics and weighted entropy with partial information," European Journal of Operational Research, Elsevier, vol. 321(2), pages 476-492.
  3. Yuting Su & Taizhong Hu & Zhenfeng Zou, 2025. "Extreme-case Range Value-at-Risk under Increasing Failure Rate," Papers 2506.23073, arXiv.org.
  4. Baishuai Zuo & Chuancun Yin, 2025. "Analyzing distortion riskmetrics and weighted entropy for unimodal and symmetric distributions under partial information constraints," Papers 2504.19725, arXiv.org, revised Nov 2025.
  5. Silvana M. Pesenti & Steven Vanduffel, 2023. "Optimal Transport Divergences induced by Scoring Functions," Papers 2311.12183, arXiv.org, revised Apr 2024.
  6. Miao, Kathleen E. & Pesenti, Silvana M., 2025. "Robust elicitable functionals," European Journal of Operational Research, Elsevier, vol. 326(2), pages 311-325.
  7. Cai, Jun & Jiao, Zhanyi & Mao, Tiantian, 2025. "Worst-case values of target semi-variances with applications to robust portfolio selection," European Journal of Operational Research, Elsevier, vol. 327(3), pages 905-921.
  8. Yuxin Du & Dejian Tian & Hui Zhang, 2025. "Robust distortion risk measures with linear penalty under distribution uncertainty," Papers 2503.15824, arXiv.org.
  9. Anthony Coache & Sebastian Jaimungal, 2024. "Robust Reinforcement Learning with Dynamic Distortion Risk Measures," Papers 2409.10096, arXiv.org, revised Sep 2025.
  10. Yang Liu & Yunran Wei & Xintao Ye, 2026. "Weighted Generalized Risk Measure and Risk Quadrangle: Characterization, Optimization and Application," Papers 2603.10327, arXiv.org, revised Mar 2026.
  11. Xia Han & Ruodu Wang & Qinyu Wu, 2026. "Monotonic mean–deviation risk measures," Finance and Stochastics, Springer, vol. 30(2), pages 441-483, April.
  12. Cai, Jun & Liu, Fangda & Yin, Mingren, 2024. "Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance," European Journal of Operational Research, Elsevier, vol. 318(1), pages 310-326.
  13. Anand Deo, 2025. "EVT-Based Rate-Preserving Distributional Robustness for Tail Risk Functionals," Papers 2506.16230, arXiv.org, revised Jan 2026.
  14. Boonen, Tim J. & Jiang, Wenjun, 2024. "Robust insurance design with distortion risk measures," European Journal of Operational Research, Elsevier, vol. 316(2), pages 694-706.
  15. Mario Ghossoub & Michael B. Zhu & Wing Fung Chong, 2024. "Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures," Papers 2409.05103, arXiv.org.
  16. Ariel Neufeld & Matthew Ng Cheng En & Ying Zhang, 2024. "Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems," Papers 2403.09532, arXiv.org, revised May 2026.
  17. Valeria Bignozzi & Corrado De Vecchi, 2025. "Risk bounds under right-tail uncertainty," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(2), pages 2025-2059, December.
  18. Baishuai Zuo & Chuancun Yin, 2024. "Worst-cases of distortion riskmetrics and weighted entropy with partial information," Papers 2405.19075, arXiv.org.
  19. Mengshuo Zhao & Narayanaswamy Balakrishnan & Chuancun Yin & Hui Shao, 2024. "Extremal cases of distortion risk measures with partial information," Papers 2404.13637, arXiv.org, revised Dec 2025.
  20. Brandon Tam & Silvana M. Pesenti, 2025. "Bounds for Distributionally Robust Optimization Problems," Papers 2504.06381, arXiv.org, revised Jan 2026.
  21. Mengshuo Zhao & Chuancun Yin, 2024. "Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information," Papers 2409.19902, arXiv.org.
  22. Xiangyu Han & Yijun Hu & Ran Wang & Linxiao Wei, 2025. "On data-driven robust distortion risk measures for non-negative risks with partial information," Papers 2508.10682, arXiv.org.
  23. Boonen, Tim J. & Jiang, Wenjun, 2025. "Distributionally robust insurance under the Wasserstein distance," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 61-78.
  24. Silvana M. Pesenti & Thai Nguyen, 2026. "Outperforming a Benchmark with $\alpha$-Bregman Wasserstein divergence," Papers 2603.20580, arXiv.org.
  25. Jun Cai & Zhanyi Jiao & Tiantian Mao, 2024. "Worst-case values of target semi-variances with applications to robust portfolio selection," Papers 2410.01732, arXiv.org, revised Oct 2024.
  26. Peng Liu & Steven Vanduffel & Yi Xia, 2025. "Robust distortion risk metrics and portfolio optimization," Papers 2511.08662, arXiv.org.
  27. Marcelo Righi & Fernanda Muller, 2024. "A note on robust convex risk measures," Papers 2406.12999, arXiv.org, revised Jul 2025.
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