相关论文: Conditional Expectation as Quantile Derivative

Quantiles and expected shortfalls are commonly used risk measures in financial risk management. The two measurements are correlated while have distinguished features. In this project, our primary goal is to develop stable and practical…

Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall using duality results and the link to…

Expected Shortfall (ES), also known as superquantile or Conditional Value-at-Risk, has been recognized as an important measure in risk analysis and stochastic optimization, and is also finding applications beyond these areas. In finance, it…

In this paper, we consider conditions that a higher order derivative preserve in conditional expectation operator for a generic nonlinear random variable. Also, the paper introduces higher order derivatives of the Expected Shortfall for a…

Several studies have focused on the Realized Range Volatility, an estimator of the quadratic variation of financial prices, taking into account the impact of microstructure noise and jumps. However, none has considered direct modeling and…

The expectile can be considered as a generalization of quantile. While expected shortfall is a quantile based risk measure, we study its counterpart -- the expectile based expected shortfall -- where expectile takes the place of quantile.…

Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e. a function…

Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to…

In this paper we consider finite conditional random quantities and conditional previsions assessments in the setting of coherence. We use a suitable representation for conditional random quantities; in particular the indicator of a…

In this note, we give an explicit expression for the quantile of a mixture of two random variables. We carefully examine all possible cases of discrete and continuous variables with possibly unbounded support. The result is useful for…

It is well known that Expected Shortfall (also called Average Value-at-Risk) is a convex risk measure, i. e. Expected Shortfall of a convex linear combination of arbitrary risk positions is not greater than a convex linear combination with…

In this paper, we introduce the concept of hyperbolic valued random variables, their expectation and moments. We develop the hyperbolic analogue of Binomial and Poisson distributions. We study some of the properties of expectation on the…

We investigate a possible definition of expectation and conditional expectation for random variables with values in a local field such as the $p$-adic numbers. We define the expectation by analogy with the observation that for real-valued…

Quantile regression is a powerful tool for detecting exposure-outcome associations given covariates across different parts of the outcome's distribution, but has two major limitations when the aim is to infer the effect of an exposure.…

The concept of conditional expectation is important in applications of probability and statistics in many areas such as reliability engineering, economy, finance, and actuarial sciences due to its property of being the best predictor of a…

As a counterpart to the (static) risk measures of generalized quantiles and motivated by Bellini et al. (2018), we propose a new kind of conditional risk measure called conditional generalized quantiles. We first show their well-definedness…

We analyze selected iterated conditionals in the framework of conditional random quantities. We point out that it is instructive to examine Lewis's triviality result, which shows the conditions a conditional must satisfy for its probability…

The processes of the averaged regression quantiles and of their modifications provide useful tools in the regression models when the covariates are not fully under our control. As an application we mention the probabilistic risk assessment…

Consider a high-dimensional linear regression problem, where the number of covariates is larger than the number of observations and the interest is in estimating the conditional variance of the response variable given the covariates. A…

We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p % worst losses" in a sample of returns to a portfolio. Here p…