A Theory for Measures of Tail Risk
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Publication:4958558
DOI10.1287/moor.2020.1072zbMath1471.91626OpenAlexW3125265748MaRDI QIDQ4958558
Publication date: 14 September 2021
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2020.1072
Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)
Related Items (12)
Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses ⋮ Risk aggregation under dependence uncertainty and an order constraint ⋮ Bayes risk, elicitability, and the Expected Shortfall ⋮ One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles ⋮ An axiomatic approach to default risk and model uncertainty in rating systems ⋮ Tail variance allocation, Shapley value, and the majorization problem ⋮ Adjusted higher-order expected shortfall ⋮ Testing with \(\mathrm{p}^*\)-values: between p-values, mid p-values, and e-values ⋮ A tail-revisited Markowitz mean-variance approach and a portfolio network centrality ⋮ Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory ⋮ Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures ⋮ Distributional Transforms, Probability Distortions, and Their Applications
Uses Software
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