Multivariate convex risk statistics with scenario analysis

DOI10.1080/03610926.2018.1515957OpenAlexW2929659073MaRDI QIDQ5077922

Wei Liu, Linxiao Wei, Hu, Yijun

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

zbMATH Keywords

comonotonicity(multivariate) risk measuresempirical law invariancemultivariate convex risk statistics

Mathematics Subject Classification ID

Statistics (62-XX) Stochastic models in economics (91B70) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

Related Items (2)

Multivariate shortfall risk statistics with scenario analysis ⋮ Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity

Cites Work

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