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

buffered failure probabilityconditional value-at-riskgeneralized regressionstochastic programmingsuperquantilesuncertainty quantification

Mathematics Subject Classification ID

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

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Cites work

• 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
• 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?)
• 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

(23)

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

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