Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk

DOI10.1016/J.EJOR.2013.10.046MaRDI QIDQ2256182zbMATH OpenOpenAlexFDO

Authors Johannes O. Royset, S. I. Miranda, R. T. Rockafellar

Publication date 19 February 2015

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2013.10.046

zbMATH Keywords

uncertainty quantificationstochastic programmingconditional value-at-risksuperquantilesgeneralized regressionbuffered failure probability

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) General nonlinear regression (62J02) Reliability and life testing (62N05) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Reliability, availability, maintenance, inspection in operations research (90B25) Stochastic programming (90C15)

Recommendations

• Bayesian CV@R/super-quantile regression
• Superquantile/CVaR risk measures: second-order theory
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Cites work

• scientific article; zbMATH DE number 5961780 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Asymptotically efficient estimation of the conditional expected shortfall
• Coherent measures of risk
• Conditional transformation models
• Conditional value-at-risk and average value-at-risk: estimation and asymptotics
• Making and evaluating point forecasts
• Nonparametric estimation of conditional VaR and expected shortfall
• On estimating the conditional expected shortfall
• Order-Preserving Nonparametric Regression, With Applications to Conditional Distribution and Quantile Function Estimation
• Quantile regression.
• Random variables, monotone relations, and convex analysis
• Risk tuning with generalized linear regression
• Variational Analysis

Cited in

(22)

• Superquantile function of order n and their applications in reliability and entropy
• Averaged extreme regression quantile
• CVaR (superquantile) norm: stochastic case
• Range-based risk measures and their applications
• Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
• Time-varying quantile association regression model with applications to financial contagion and VaR
• Diversification quotients based on VaR and ES
• Superquantile/CVaR risk measures: second-order theory
• Spectral risk measures: the risk quadrangle and optimal approximation
• Risk-adapted optimal experimental design
• Coherence and elicitability
• Risk-adaptive approaches to stochastic optimization: a survey
• Bregman superquantiles. Estimation methods and applications
• Risk averse submodular utility maximization
• Random variables, monotone relations, and convex analysis
• Bayesian CV@R/super-quantile regression
• Linear hypothesis testing in high-dimensional expected shortfall regression with heavy-tailed errors
• Superquantiles at work: machine learning applications and efficient subgradient computation
• Weighted-average quantile regression
• Minimizing buffered probability of exceedance by progressive hedging
• High-Dimensional Expected Shortfall Regression
• Estimating value-at-risk and expected shortfall using the intraday low and range data

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• PSG
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