Kavli Affiliate: Ran Wang | First 5 Authors: Xiangyu Han, Xiangyu Han, , , | Summary: In this paper, by proposing two new kinds of distributional uncertainty sets, we explore robustness of distortion risk measures against distributional uncertainty. To be precise, we first consider a distributional uncertainty set which is characterized solely by a ball […]
Continue.. On data-driven robust distortion risk measures for non-negative risks with partial information