Bregman superquantiles. Estimation methods and applications
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Publication:325014
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.
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Cited in
(4)- Non asymptotic controls on a recursive superquantile approximation
- Stochastic approximation algorithms for superquantiles estimation
- Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
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