Multivariate extensions of expectiles risk measures

DOI10.1515/demo-2017-0002zbMath1358.91113arXiv1609.07637OpenAlexW2525497313MaRDI QIDQ515556

Didier Rullière, Véronique Maume-Deschamps, Khalil Said

Publication date: 16 March 2017

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.07637

zbMATH Keywords

stochastic approximationcopulasrisk managementcapital allocationmultivariate risk measureselicitabilitycoherence propertiesdependence modelingrisk theorymultivariate expectilessolvency 2

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (13)

A multivariate CVaR risk measure from the perspective of portfolio risk management ⋮ The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data ⋮ Multivariate geometric expectiles ⋮ Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Multivariate expectile-based distribution: properties, Bayesian inference, and applications ⋮ Capital allocation with multivariate convex risk measures ⋮ Approximation of some multivariate risk measures for Gaussian risks ⋮ Extremes for multivariate expectiles ⋮ Expectile depth: theory and computation for bivariate datasets ⋮ Semi-parametric estimation of multivariate extreme expectiles ⋮ MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK ⋮ Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches ⋮ On the nonparametric estimation of the functional expectile regression

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