Bregman superquantiles. Estimation methods and applications

DOI10.1515/DEMO-2016-0004zbMATH Open1348.62076arXiv1405.6677OpenAlexW2392567602MaRDI QIDQ325014FDOQ325014

Authors: T. Labopin-Richard, Fabrice Gamboa, Aurélien Garivier, B. Iooss 

Publication date: 17 October 2016

Published in: Dependence Modeling (Search for Journal in Brave)

Abstract: In this work, we extend some quantities introduced in "Optimization of conditional value-at-risk" of R.T Rockafellar and S. Uryasev to the case where the proximity between real numbers is measured by using a Bregman divergence. This leads to the definition of the Bregman superquantile. Axioms of a coherent measure of risk discussed in "Coherent approches to risk in optimization under uncertainty" of R.T Rockafellar are studied in the case of Bregman superquantile. Furthermore, we deal with asymptotic properties of a Monte Carlo estimator of the Bregman superquantile.

Full work available at URL: https://arxiv.org/abs/1405.6677

Recommendations

• Superquantile/CVaR risk measures: second-order theory
• Stochastic approximation algorithms for superquantiles estimation
• Bayesian CV@R/super-quantile regression
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
• Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk

zbMATH Keywords

asymptotic behaviorBregman superquantilecoherent measure of riskempirical estimationsuperquantile

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics in engineering and industry; control charts (62P30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential estimation (62L12)

Cites Work

• Asymptotic Statistics
• Coherent measures of risk
• Comparing density forecasts using threshold- and quantile-weighted scoring rules
• Empirical Estimation of Risk Measures and Related Quantities
• Sequential design of computer experiments for the estimation of a probability of failure
• Title not available (Why is that?)
• Coherence and elicitability
• Title not available (Why is that?)
• Risk measures, distortion parameters, and their empirical estimation
• Title not available (Why is that?)
• Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
• Order Statistics
• Title not available (Why is that?)
• Asymptotic Distribution of Linear Combinations of Functions of Order Statistics with Applications to Estimation
• Title not available (Why is that?)
• Comonotonicity, correlation order and premium principles
• Some remarks on the value-at-risk and the conditional value-at-risk
• Extended Gini Indices of Inequality
• A modified functional delta method and its application to the estimation of risk functionals
• Robustness and sensitivity analysis of risk measurement procedures
• Entropic means
• Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
• Conditional value-at-risk and average value-at-risk: estimation and asymptotics
• Testing hypotheses about the equality of several risk measure values with applications in insurance
• Title not available (Why is that?)
• Random variables, monotone relations, and convex analysis
• Rates of almost sure convergence of plug-in estimates for distortion risk measures
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
• Weighted premium calculation principles
• Controlled stratification for quantile estimation

Cited In (2)

• Non asymptotic controls on a recursive superquantile approximation
• Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case

This page was built for publication: Bregman superquantiles. Estimation methods and applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q325014)