Cover Image

Worst-cases of distortion riskmetrics and weighted entropy with partial information

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Zuo, Baishuai, Yin, Chuancun
Format:	Preprint
Published:	2024
Subjects:	Risk Management
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Analyzing distortion riskmetrics and weighted entropy for unimodal and symmetric distributions under partial information constraints
by: Zuo, Baishuai, et al.
Published: (2025)

Extremal cases of distortion risk measures with partial information
by: Zhao, Mengshuo, et al.
Published: (2024)

Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information
by: Zhao, Mengshuo, et al.
Published: (2024)

Partial comonotonicity and distortion riskmetrics
by: Huang, Muqiao
Published: (2025)

Risk sharing, measuring variability, and distortion riskmetrics
by: Lauzier, Jean-Gabriel, et al.
Published: (2023)

Stochastic comparisons of sample mean differences for multivariate random variables
by: Yin, Xuehua, et al.
Published: (2019)

Worst-case values of target semi-variances with applications to robust portfolio selection
by: Cai, Jun, et al.
Published: (2024)

Optimal investment under partial information and robust VaR-type constraint
by: Bäuerle, Nicole, et al.
Published: (2022)

Counter-monotonic risk allocations and distortion risk measures
by: Ghossoub, Mario, et al.
Published: (2024)

The randomly distorted Choquet integrals with respect to a G-randomly distorted capacity and risk measures
by: Aldalbahi, Ohood, et al.
Published: (2025)

Optimal allocations with distortion risk measures and mixed risk attitudes
by: Ghossoub, Mario, et al.
Published: (2025)

Cash non-additive risk measures: horizon risk and generalized entropy
by: Di Nunno, Giulia, et al.
Published: (2024)

Tail Risk Alert Based on Conditional Autoregressive VaR by Regression Quantiles and Machine Learning Algorithms
by: Ke, Zong, et al.
Published: (2024)

Robust distortion risk measures with linear penalty under distribution uncertainty
by: Du, Yuxin, et al.
Published: (2025)

On data-driven robust distortion risk measures for non-negative risks with partial information
by: Han, Xiangyu, et al.
Published: (2025)

Extreme-case Range Value-at-Risk under Increasing Failure Rate
by: Su, Yuting, et al.
Published: (2025)

Optimal dynamic climate adaptation pathways: a case study of New York City
by: Truong, Chi, et al.
Published: (2024)

Tail risk forecasting with semi-parametric regression models by incorporating overnight information
by: Chen, Cathy W. S., et al.
Published: (2024)

Value and demand for genetic information and ambiguity aversion revisited
by: Stefan Felder, et al.
Published: (2024)

A multistate approach to disability insurance reserving with information delays
by: Sandqvist, Oliver Lunding
Published: (2023)

Robust distortion risk metrics and portfolio optimization
by: Liu, Peng, et al.
Published: (2025)

De Finetti's problem with fixed transaction costs and regime switching
by: Wang, Wenyuan, et al.
Published: (2025)

One size does not fit all: The value of information and coexistence of rating agencies
by: Hae Jin Chung, et al.
Published: (2024)

Application of forecast‐informed reservoir operations at US Army Corps of Engineers dams in California
by: Joe Forbis, et al.
Published: (2024)

Managing legal risks in health information exchanges: A comprehensive approach to privacy, consent, and liability
by: Tariq K. Alhasan
Published: (2025)

Not all sources of uncertainty are worth resolving: A value of information approach for uncertainty reduction in flood risk management
by: Juan Velandia, et al.
Published: (2024)

Application of AI in Credit Risk Scoring for Small Business Loans: A case study on how AI-based random forest model improves a Delphi model outcome in the case of Azerbaijani SMEs
by: Karimova, Nigar
Published: (2024)

Can Flash Flood Risk Index Be an Early Warning Signal of Flash Floods in Ungauged Basin?
by: Kaihua Guo, et al.
Published: (2026)

On multivariate contribution measures of systemic risk with applications in cryptocurrency market
by: Wen, Limin, et al.
Published: (2024)

Analisis cuantitativo de riesgos utilizando "MCSimulRisk" como herramienta didactica
by: Acebes, Fernando, et al.
Published: (2024)

Stochastic Earned Value Analysis using Monte Carlo Simulation and Statistical Learning Techniques
by: Acebes, Fernando, et al.
Published: (2024)

Uncertainty and financial market resilience: Evidence from China
by: Wei, Si-Yao, et al.
Published: (2024)

Quantifying Seasonal Weather Risk in Indian Markets: Stochastic Model for Risk-Averse State-Specific Temperature Derivative Pricing
by: Hooda, Soumil, et al.
Published: (2024)

Risk spillovers between the BRICS and the U.S. staple grain futures markets
by: Shao, Ying-Hui, et al.
Published: (2024)

On-Chain Credit Risk Score in Decentralized Finance
by: Ghosh, Rik, et al.
Published: (2024)

Deviance Voronoi Residuals for Space-Time Point Process Models: An Application to Earthquake Insurance Risk
by: Bairakdar, Roba, et al.
Published: (2024)

Improving Estimation of Portfolio Risk Using New Statistical Factors
by: Liu, Xialu, et al.
Published: (2024)

On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market
by: Pu, Tong, et al.
Published: (2024)

Self-protection and insurance demand with convex premium principles
by: Li, Qiqi, et al.
Published: (2024)

Resilience Analysis of Multi-modal Logistics Service Network Through Robust Optimization with Budget-of-Uncertainty
by: Pang, Yaxin, et al.
Published: (2024)