Multivariate shortfall risk statistics with scenario analysis

DOI10.1080/03610926.2020.1752726OpenAlexW3018366607MaRDI QIDQ5079264

Yan-Hong Chen, Xianfu Zeng, Hu, Yijun, 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) Stochastic models in economics (91B70) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

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