Before revision:   Further, we derive convex dual representations of the robust OCE for measurable claims without any assumptions on the set of distributions and finally give conditions on the latter set under which the robust average value-at-risk is a tail risk measure.
After revision:  Further, we derive convex dual representations of the robust OCE for measurable claims without any assumptions on the set of distributions . Finally, we give conditions on the latter set under which the robust average value-at-risk is a tail risk measure.