Multivariate shortfall risk statistics with scenario analysis

DOI10.1080/03610926.2020.1752726MaRDI QIDQ5079264zbMATH OpenOpenAlexFDO

Authors Xianfu Zeng, Yanhong Chen, Yijun Hu, Hai-Yan Song

Publication date 25 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1752726

zbMATH Keywords

loss function(multivariate) risk measuresconvex risk statisticsmultivariate shortfall risk statistics

Mathematics Subject Classification ID

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

(4)

• Analysis of the Expected Shortfall of Aggregate Dependent Risks
• Estimation of multiple period expected shortfall and median shortfall for risk management
• Set-valued risk statistics with scenario analysis
• Multivariate Shortfall Risk Allocation and Systemic Risk

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