Estimating the VaR-induced Euler allocation rule

DOI10.1017/ASB.2023.17MaRDI QIDQ6569741zbMATH OpenFDO

Authors N. V. Gribkova, Jianxi Su, Ričardas Zitikis

Publication date 9 July 2024

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/ASB.2023.17

zbMATH Keywords

capital allocationsconcomitantsconditional mean risk sharingorder statisticsquantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

Recommendations

• An efficient approach to quantile capital allocation and sensitivity analysis
• A generalization of expected shortfall based capital allocation
• Excess based allocation of risk capital
• Fair estimation of capital risk allocation
• Risk contributions of lambda quantiles

Cites work

• A form of multivariate Pareto distribution with applications to financial risk measurement
• AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS
• An efficient approach to quantile capital allocation and sensitivity analysis
• An introduction to statistical learning. With applications in R
• Capital allocation for credit portfolios with kernel estimators
• Conditional Monte Carlo estimation of quantile sensitivities
• Convergence theorems for empirical cumulative quantile regression functions
• Detecting systematic anomalies affecting systems when inputs are stationary time series
• Empirical tail conditional allocation and its consistency under minimal assumptions
• Estimating quantile sensitivities
• scientific article; zbMATH DE number 1191514 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
• Kernel estimation of quantile sensitivities
• Large-loss behavior of conditional mean risk sharing
• Modelling lifetime dependence for older ages using a multivariate Pareto distribution
• On the cumulative quantile regression process
• Order Statistics
• Peer-to-peer multi-risk insurance and mutual aid
• Quantile regression.
• Quantitative risk management. Concepts, techniques and tools
• Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines
• Statistical foundations for assessing the difference between the classical and weighted-Gini betas
• Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
• Time series: theory and methods.
• Understanding Relationships Using Copulas
• Weighted allocations, their concomitant-based estimators, and asymptotics
• Weighted Pricing Functionals With Applications to Insurance
• Weighted risk capital allocations

Cited in

(1)

• Forecasting and backtesting gradient allocations of expected shortfall

This page was built for publication: Estimating the VaR-induced Euler allocation rule

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6569741)