Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
DOI10.1016/J.EJOR.2013.10.046zbMATH Open1305.62175OpenAlexW1989570555MaRDI QIDQ2256182FDOQ2256182
S. I. Miranda, R. T. Rockafellar, Johannes O. Royset
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
Recommendations
uncertainty quantificationstochastic programmingconditional value-at-risksuperquantilesgeneralized regressionbuffered failure probability
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)
Cites Work
- Coherent measures of risk
- Quantile regression.
- Variational Analysis
- Making and Evaluating Point Forecasts
- Conditional Transformation Models
- Title not available (Why is that?)
- Nonparametric estimation of conditional VaR and expected shortfall
- Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics
- Title not available (Why is that?)
- Risk Tuning with Generalized Linear Regression
- Random variables, monotone relations, and convex analysis
- On estimating the conditional expected shortfall
- Asymptotically efficient estimation of the conditional expected shortfall
- Order-Preserving Nonparametric Regression, With Applications to Conditional Distribution and Quantile Function Estimation
- Title not available (Why is that?)
Cited In (16)
- Averaged extreme regression quantile
- 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
- Coherence and elicitability
- Bregman superquantiles. Estimation methods and applications
- Risk averse submodular utility maximization
- Random variables, monotone relations, and convex analysis
- Bayesian CV@R/super-quantile regression
- Superquantiles at work: machine learning applications and efficient subgradient computation
- Minimizing buffered probability of exceedance by progressive hedging
- Estimating value-at-risk and expected shortfall using the intraday low and range data
- Risk-Adapted Optimal Experimental Design
Uses Software
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)
