Bregman superquantiles. Estimation methods and applications
From MaRDI portal
Publication:325014
DOI10.1515/demo-2016-0004zbMath1348.62076arXiv1405.6677OpenAlexW2392567602MaRDI QIDQ325014
Fabrice Gamboa, Aurélien Garivier, Tatiana Labopin-Richard, Bertrand Iooss
Publication date: 17 October 2016
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.6677
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Sequential estimation (62L12)
Related Items (2)
Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case ⋮ Non asymptotic controls on a recursive superquantile approximation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Random variables, monotone relations, and convex analysis
- A modified functional delta method and its application to the estimation of risk functionals
- Rates of almost sure convergence of plug-in estimates for distortion risk measures
- Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
- Sequential design of computer experiments for the estimation of a probability of failure
- Weighted premium calculation principles
- Controlled stratification for quantile estimation
- Entropic means
- Comonotonicity, correlation order and premium principles
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- Risk measures, distortion parameters, and their empirical estimation
- Testing hypotheses about the equality of several risk measure values with applications in insurance
- Coherent Measures of Risk
- COHERENCE AND ELICITABILITY
- Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
- Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics
- Robustness and sensitivity analysis of risk measurement procedures
- Asymptotic Statistics
- Order Statistics
- Extended Gini Indices of Inequality
- Asymptotic Distribution of Linear Combinations of Functions of Order Statistics with Applications to Estimation
- Empirical Estimation of Risk Measures and Related Quantities
This page was built for publication: Bregman superquantiles. Estimation methods and applications