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Estimating the VaR-induced Euler allocation rule - MaRDI portal

Estimating the VaR-induced Euler allocation rule

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Publication:6569741

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DOI10.1017/asb.2023.17zbMath1545.91263MaRDI QIDQ6569741

N. V. Gribkova, Ričardas Zitikis, Jianxi Su

Publication date: 9 July 2024

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

order statistics quantile regression concomitants capital allocations conditional mean risk sharing

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

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