Multivariate convex risk statistics with scenario analysis
DOI10.1080/03610926.2018.1515957OpenAlexW2929659073MaRDI QIDQ5077922FDOQ5077922
Authors: Wei Liu, Linxiao Wei, Yijun Hu 
Publication date: 20 May 2022
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1515957
comonotonicity(multivariate) risk measuresempirical law invariancemultivariate convex risk statistics
Statistics (62-XX) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Stochastic models in economics (91B70)
Cites Work
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Cited In (5)
- Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
- Set-valued risk statistics with scenario analysis
- Multivariate shortfall risk statistics with scenario analysis
- Convex risk measures for the aggregation of multiple information sources and applications in insurance
- Multivariate risks and depth-trimmed regions
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