Data and uncertainty in extreme risks: a nonlinear expectations approach
Estimation of tail quantities, such as expected shortfall or Value at Risk, is a difficult problem. We show how the theory of nonlinear expectations, in particular the Data-robust expectation introduced in [5], can assist in the quantification of statistical uncertainty for these problems. However,...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Conference item |
| Published: |
World Scientific Publishing
2018
|