Maximum Spectral Measures of Risk with Given Risk Factor Marginal Distributions

DOI10.1287/MOOR.2022.1299MaRDI QIDQ6118342zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 23 February 2024

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.14673

zbMATH Keywords

dependence uncertaintyexpected shortfallMonge-Kantorovich dualityoptimal transportspectral risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Abstract: We consider the problem of determining an upper bound for the value of a spectral risk measure of a loss that is a general nonlinear function of two factors whose marginal distributions are known, but whose joint distribution is unknown. The factors may take values in complete separable metric spaces. We introduce the notion of Maximum Spectral Measure (MSP), as a worst-case spectral risk measure of the loss with respect to the dependence between the factors. The MSP admits a formulation as a solution to an optimization problem that has the same constraint set as the optimal transport problem, but with a more general objective function. We present results analogous to the Kantorovich duality, and we investigate the continuity properties of the optimal value function and optimal solution set with respect to perturbation of the marginal distributions. Additionally, we provide an asymptotic result characterizing the limiting distribution of the optimal value function when the factor distributions are simulated from finite sample spaces. The special case of Expected Shortfall and the resulting Maximum Expected Shortfall is also examined.

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Cited in

(5)

• Bounds on Choquet risk measures in finite product spaces with ambiguous marginals
• Robust risk management via multi-marginal optimal transport
• A general framework for multi-marginal optimal transport
• Upper comonotonicity and risk aggregation under dependence uncertainty
• Risk-adaptive approaches to stochastic optimization: a survey

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