A new robust risk measure: quantile shortfall

DOI10.1007/S10114-020-9100-3MaRDI QIDQ2024978zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Generalized quantiles as risk measures
• Shortfall as a risk measure: properties, optimization and applications
• Robustness in the optimization of risk measures
• Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
• Nonparametric estimation of expected shortfall

Cites work

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