A parametric approach to the estimation of convex risk functionals based on Wasserstein distance

In this paper, we explore a static setting for the assessment of risk in the context of mathematical finance and actuarial science that takes into account model uncertainty in the distribution of a possibly infinite-dimensional risk factor. We allow for perturbations around a baseline model, measured via Wasserstein distance, and we investigate to which extent this form of probabilistic imprecision can be parametrized. The aim is to come up with a convex risk functional that incorporates a sefet...