Extremal cases of distortion risk measures with partial information

Mengshuo Zhao, Narayanaswamy Balakrishnan and Chuancun Yin

Papers from arXiv.org

Abstract: This paper considers the best- and worst-case of a general class of distortion risk measures when only partial information regarding the underlying distributions is available. Specifically, explicit sharp lower and upper bounds for a general class of distortion risk measures are derived based on the first two moments along with some shape information, such as symmetry/unimodality property of the underlying distributions. The proposed approach provides a unified framework for extremal problems of distortion risk measures.

Date: 2024-04, Revised 2024-10
New Economics Papers: this item is included in nep-rmg
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