A generalization of Expected Shortfall based capital allocation

被引：4
|
作者：
Xun, Li [1 ]
Zhou, Yangzhi [1 ]
Zhou, Yong [2 ,3 ]
机构：
[1] Changchun Univ Technol, Sch Math & Stat, Changchun, Jilin, Peoples R China
[2] East China Normal Univ, Inst Stat & Interdisciplinary Sci, Shanghai, Peoples R China
[3] East China Normal Univ, Sch Stat, Shanghai, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2019年 / 146卷
基金：
中国国家自然科学基金;
关键词：
Expected shortfall; Orlicz risk measure; Young function; Estimating equation; Capital allocation; GOOVAERTS RISK MEASURE;
D O I：
10.1016/j.spl.2018.10.014
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, a generalization of Expected Shortfall based capital allocation is explored, which is a class of allocation rules based on Orlicz risk measure with different Young functions. We propose the estimating equation estimator of the Orlicz risk measure based capital allocation. The properties of consistency and asymptotic normality of the estimator are derived. Simulations illustrate that the proposed estimator performs well with moderate sample sizes. (C) 2018 Published by Elsevier B.V.
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页码：193 / 199
页数：7
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