Forecasting and backtesting gradient allocations of expected shortfall

DOI10.1016/J.INSMATHECO.2025.103130MaRDI QIDQ6911995zbMATH OpenFDO

Authors Takaaki Koike, Cathy W. S. Chen, Edward M. H. Lin

Publication date 23 October 2025

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

zbMATH Keywords

expected shortfallelicitabilitycapital allocationcompositional data analysisdynamic risk managementEuler principle

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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