In this paper, we propose a worst-case weighted approach to the multi-objective n-person non-zero sum game model where each player has more than one competing objective. Our "worst-case weighted multi-objective game" model supposes that each player has a set of weights to its objectives and wishes to minimize its maximum weighted sum objectives where the maximization is with respect to the set of weights. This new model gives rise to a new Pareto Nash equilibrium concept, which we call "robust-weighted Nash equilibrium". We prove that the robust-weighted Nash equilibria are guaranteed to exist even when the weight sets are unbounded. For the worst-case weighted multi-objective game with the weight sets of players all given as polytope, we show that a robust-weighted Nash equilibrium can be obtained by solving a mathematical program with equilibrium constraints (MPEC). For an application, we illustrate the usefulness of the worst-case weighted multi-objective game to a supply chain risk management problem under demand uncertainty. By the comparison with the existed weighted approach, we show that our method is more robust and can be more efficiently used for the real-world applications.