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A generalization of Expected Shortfall based capital allocation

Li Xun, Yangzhi Zhou and Yong Zhou

Statistics & Probability Letters, 2019, vol. 146, issue C, 193-199

Abstract: In 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 functions. 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.

Keywords: Expected shortfall; Orlicz risk measure; Young function; Estimating equation; Capital allocation (search for similar items in EconPapers)
Date: 2019
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