A generalization of expected shortfall based capital allocation

DOI10.1016/J.SPL.2018.10.014MaRDI QIDQ1726872zbMATH OpenOpenAlexFDO

Authors Li Xun, Yangzhi Zhou, Yong Zhou

Publication date 20 February 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2018.10.014

zbMATH Keywords

estimating equationexpected shortfallcapital allocationYoung functionOrlicz risk measure

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Fair estimation of capital risk allocation
• Excess based allocation of risk capital
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• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Expected shortfall and beyond

Cites work

• scientific article; zbMATH DE number 1538071 (Why is no real title available?)
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• Capital allocation for Sarmanov's class of distributions
• Characterization of upper comonotonicity via tail convex order
• Empirical likelihood inference for Haezendonck-Goovaerts risk measure
• Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
• General lower bounds on convex functionals of aggregate sums
• Haezendonck-Goovaerts risk measure with a heavy tailed loss
• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• Inference for intermediate Haezendonck-Goovaerts risk measure
• On the Haezendonck-Goovaerts risk measure for extreme risks
• On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
• Optimal portfolios with Haezendonck risk measures
• Optimal reinsurance under the Haezendonck risk measure
• Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions
• Simulation and the Asymptotics of Optimization Estimators
• Some new classes of consistent risk measures

Cited in

(11)

• Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
• Estimating the VaR-induced Euler allocation rule
• Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
• Dual representation of expectile-based expected shortfall and its properties
• Fair estimation of capital risk allocation
• The conditional Haezendonck-Goovaerts risk measure
• Haezendonck-Goovaerts capital allocation rules
• Excess based allocation of risk capital
• Capital allocation with multivariate convex risk measures
• Analytical expression of the expected values of capital at voting in the stochastic environment
• An efficient approach to quantile capital allocation and sensitivity analysis

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