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

DOI10.1016/j.ejor.2013.10.046zbMath1305.62175OpenAlexW1989570555MaRDI QIDQ2256182

S. I. Miranda, Johannes O. Royset, R. Tyrrell 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

stochastic programminguncertainty quantificationconditional value-at-risksuperquantilesgeneralized regressionbuffered failure probability

Mathematics Subject Classification ID

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

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Uses Software

• Portfolio Safeguard
• PSG

Cites Work

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