Adjusted higher-order expected shortfall

DOI10.1016/J.INSMATHECO.2023.12.006MaRDI QIDQ6199662zbMATH OpenOpenAlexFDO

Authors Zhenfeng Zou, Taizhong Hu

Publication date 21 March 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2023.12.006

zbMATH Keywords

coherent risk measureconvex risk measuredual increasing convex orderdual representationhigher-order expected shortfallrisk profile

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Review text

The authors investigate how to detect different tail behaviors of two risk random variables with the same mean. A class of convex risk measures, referred to as adjusted higher-order expected shortfall (ES), is introduced and studied. The adjusted risk measure quantifies risk as the minimum amount of capital that has to be raised and injected into a financial position to ensure that its higher-order ES does not exceed a pre-specified threshold for every probability level. This new risk measure is linked to dual higher-order increasing convex order by choosing the risk threshold to be the higher-order ES of a special benchmark random loss. The dual representation for adjusted higher-order expected shortfall is also given.

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Cited in

(2)

• Adjusted Rényi entropic value-at-risk
• Risk measures based on target risk profiles

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