A new robust risk measure: quantile shortfall

DOI10.1007/S10114-020-9100-3zbMATH Open1465.62160OpenAlexW3083534660MaRDI QIDQ2024978FDOQ2024978

Yanyan Liu, Fei Yan, You-Li Chen, Yuan Shan Wu, Guang Cai Mao

Publication date: 4 May 2021

Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-020-9100-3

zbMATH Keywords

robustnonparametric estimationrisk measurequantile shortfall

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Asymptotic Statistics
• Coherent measures of risk
• Dynamic quantile models
• An Elementary Approach to Weak Convergence for Quantile Processes, With Applications to Censored Survival Data
• External Risk Measures and Basel Accords

Cited In (1)

• On the shortfall risk control: a refinement of the quantile hedging method

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