Bregman superquantiles. Estimation methods and applications

T. Labopin-Richard, et al. "Bregman superquantiles. Estimation methods and applications." Dependence Modeling 4.1 (2016): 76-108, electronic only. <http://eudml.org/doc/276435>.

@article{T2016,
abstract = {In thiswork,we extend some parameters built on a probability distribution introduced before to the casewhere the proximity between real numbers is measured by using a Bregman divergence. This leads to the definition of the Bregman superquantile (thatwe can connect with severalworks in economy, see for example [18] or [9]). Axioms of a coherent measure of risk discussed previously (see [31] or [3]) are studied in the case of Bregman superquantile. Furthermore,we deal with asymptotic properties of aMonte Carlo estimator of the Bregman superquantile. Several numerical tests confirm the theoretical results and an application illustrates the potential interests of the Bregman superquantile.},
author = {T. Labopin-Richard, F. Gamboa, A. Garivier, B. Iooss},
journal = {Dependence Modeling},
keywords = {Coherent measure of risk; superquantile; Bregman superquantile; empirical estimation; asymptotic behavior; coherent measure of risk; asymptotic behavior},
language = {eng},
number = {1},
pages = {76-108, electronic only},
title = {Bregman superquantiles. Estimation methods and applications},
url = {http://eudml.org/doc/276435},
volume = {4},
year = {2016},
}

TY - JOUR
AU - T. Labopin-Richard
AU - F. Gamboa
AU - A. Garivier
AU - B. Iooss
TI - Bregman superquantiles. Estimation methods and applications
JO - Dependence Modeling
PY - 2016
VL - 4
IS - 1
SP - 76
EP - 108, electronic only
AB - In thiswork,we extend some parameters built on a probability distribution introduced before to the casewhere the proximity between real numbers is measured by using a Bregman divergence. This leads to the definition of the Bregman superquantile (thatwe can connect with severalworks in economy, see for example [18] or [9]). Axioms of a coherent measure of risk discussed previously (see [31] or [3]) are studied in the case of Bregman superquantile. Furthermore,we deal with asymptotic properties of aMonte Carlo estimator of the Bregman superquantile. Several numerical tests confirm the theoretical results and an application illustrates the potential interests of the Bregman superquantile.
LA - eng
KW - Coherent measure of risk; superquantile; Bregman superquantile; empirical estimation; asymptotic behavior; coherent measure of risk; asymptotic behavior
UR - http://eudml.org/doc/276435
ER -