Risk measure preserving piecewise linear approximation of empirical distributions

DOI10.1007/S13385-016-0129-8zbMath1415.91149OpenAlexW2329931053WikidataQ126002542 ScholiaQ126002542MaRDI QIDQ303730

Philipp Arbenz, William Guevara-Alarcón

Publication date: 22 August 2016

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_A7ED94198BE1.P001/REF.pdf

zbMATH Keywords

Monte Carlo simulationcompressioncoherent risk measuresempirical distributionpiecewise linear distributionTVaR

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Characterization and structure theory of statistical distributions (62E10)

Related Items (1)

Piecewise linear approximation of empirical distributions under a Wasserstein distance constraint

Cites Work

• Generalized deviations in risk analysis
• Fitting polygonal functions to a set of points in the plane
• A jump-preserving curve fitting procedure based on local piecewise-linear kernel estimation
• On Choosing and Bounding Probability Metrics

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