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:  This principle also applies to the shortfall risk measure as well as for the pricing of European options. 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.