A generalization of Expected Shortfall based capital allocation

Li Xun; Yangzhi Zhou; Yong Zhou

doi:10.1016/j.spl.2018.10.014

A generalization of Expected Shortfall based capital allocation

Li Xun
, Yangzhi Zhou
, Yong Zhou^*

^*此作品的通讯作者

统计学院

Changchun University of Technology

科研成果: 期刊稿件 › 文章 › 同行评审

6 引用（Scopus）

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.

源语言	英语
页（从-至）	193-199
页数	7
期刊	Statistics and Probability Letters
卷	146
DOI	https://doi.org/10.1016/j.spl.2018.10.014
出版状态	已出版 - 3月 2019

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10.1016/j.spl.2018.10.014

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abstract = "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.",

keywords = "Capital allocation, Estimating equation, Expected shortfall, Orlicz risk measure, Young function",

author = "Li Xun and Yangzhi Zhou and Yong Zhou",

note = "Publisher Copyright: {\textcopyright} 2018",

year = "2019",

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doi = "10.1016/j.spl.2018.10.014",

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AU - Zhou, Yangzhi

AU - Zhou, Yong

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AB - 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.

KW - Capital allocation

KW - Estimating equation

KW - Expected shortfall

KW - Orlicz risk measure

KW - Young function

UR - https://www.scopus.com/pages/publications/85057562891

U2 - 10.1016/j.spl.2018.10.014

DO - 10.1016/j.spl.2018.10.014

M3 - 文章

AN - SCOPUS:85057562891

SN - 0167-7152

VL - 146

SP - 193

EP - 199

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

A generalization of Expected Shortfall based capital allocation

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