A new robust risk measure: quantile shortfall

DOI10.1007/s10114-020-9100-3zbMath1465.62160OpenAlexW3083534660MaRDI QIDQ2024978

Yan Yan 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

robustrisk measurenonparametric estimationquantile shortfall

Mathematics Subject Classification ID

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

Cites Work

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

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