Czasopismo
Tytuł artykułu
Warianty tytułu
Języki publikacji
Abstrakty
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.
Wydawca
Czasopismo
Rocznik
Tom
Numer
Opis fizyczny
Daty
otrzymano
2015-09-24
zaakceptowano
2016-02-15
online
2016-03-11
Twórcy
autor
- Institut de Mathématiques de Toulouse (CNRS UMR 5219). Université Paul Sabatier, 118 route de Narbonne, 31062 Toulouse, France
autor
- FG AG and BI are with the Institut de Mathématiques de Toulouse (CNRS UMR 5219). Université Paul Sabatier, 118 route de Narbonne, 31062 Toulouse, France. BI is also with EDF R&D
autor
- FG AG and BI are with the Institut de Mathématiques de Toulouse (CNRS UMR 5219). Université Paul Sabatier, 118 route de Narbonne, 31062 Toulouse, France. BI is also with EDF R&D
autor
- FG AG and BI are with the Institut de Mathématiques de Toulouse (CNRS UMR 5219). Université Paul Sabatier, 118 route de Narbonne, 31062 Toulouse, France. BI is also with EDF R&D
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_1515_demo-2016-0004