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
• CVaR (superquantile) norm: stochastic case
• Bregman superquantiles. Estimation methods and applications
• Stochastic approximation algorithms for superquantiles estimation

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

(17)

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

Describes a project that uses

Uses Software

• Portfolio Safeguard
• PSG

This page was built for publication: Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2256182)