A generalization of expected shortfall based capital allocation

DOI10.1016/j.spl.2018.10.014zbMath1412.62139OpenAlexW2900566935MaRDI QIDQ1726872

Li Xun, Yong Zhou, Yangzhi Zhou

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.10.014

zbMATH Keywords

Young functionestimating equationexpected shortfallcapital allocationOrlicz risk measure

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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The conditional Haezendonck-Goovaerts risk measure ⋮ Haezendonck-Goovaerts capital allocation rules ⋮ Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity ⋮ Capital allocation with multivariate convex risk measures

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