Seven proofs for the subadditivity of expected shortfall

DOI10.1515/DEMO-2015-0009MaRDI QIDQ906342zbMATH OpenOpenAlexFDO

Authors Paul Embrechts, Ruodu Wang

Publication date 21 January 2016

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

Full work available at URL https://doi.org/10.1515/demo-2015-0009

zbMATH Keywords

educationexpected shortfallrisk managementvalue-at-risksubadditivitycomonotonicityTVaR

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Inequalities; stochastic orderings (60E15) Integration with respect to measures and other set functions (28A25)

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Cited in

(14)

• Inf-convolution and optimal allocations for mixed-VaRs
• Continuous-time limits of multi-period cost-of-capital margins
• Weak comonotonicity
• Approximation algorithm of maximizing non-submodular functions under non-submodular constraint
• Measurability of functionals and of ideal point forecasts
• An energy-based measure for long-run horizon risk quantification
• Is accumulation risk in cyber methodically underestimated?
• An elementary proof of the dual representation of expected shortfall
• Deep quantile and deep composite triplet regression
• A Reverse ES (CVaR) Optimization Formula
• Quantile-based risk sharing
• Upper bounds for strictly concave distortion risk measures on moment spaces
• A new characterization of second-order stochastic dominance
• Quantile-based risk sharing with heterogeneous beliefs

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Uses Software

• QRM

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