A generalization of Expected Shortfall based capital allocation

Publication date: Available online 16 November 2018Source: Statistics & Probability LettersAuthor(s): Li Xun, Yangzhi Zhou, Yong ZhouAbstractIn 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 function. 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.

Source: Statistics and Probability Letters - November 17, 2018 Category: Statistics Source Type: research