Upper bounds for strictly concave distortion risk measures on moment spaces
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DOI: 10.1016/j.insmatheco.2018.07.002
Abstract: The study of worst-case scenarios for risk measures (e.g., Value-at-Risk) when the underlying risk (or portfolio of risks) is not completely specified is a central topic in the literature on robust risk measurement. In this… read more here.
Keywords: moment; risk; upper bounds; bounds strictly ... See more keywords