Quasiconvex risk statistics with scenario analysis (Q2342735)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quasiconvex risk statistics with scenario analysis |
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Quasiconvex risk statistics with scenario analysis (English)
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29 April 2015
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The paper starts with a preliminary brief overview of basic notions of convex analysis and risk statistics. Then, representation theorems for quasiconvex risk statistics are presented, as well as representation results for empirical-law-invariant quasiconvex risk statistics. Some examples illustrate the applications of the results, also motivated by the Basel accords.
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quasiconvex risk statistics
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empirical-law-invariance
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scenario analysis
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comonotonic quasi convexity
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