Regulator-Based Risk Statistics with Scenario Analysis

Xiaochuan Deng and Fei Sun

Mathematical Problems in Engineering, 2021, vol. 2021, 1-5

Abstract:

When there are potential risks in the progress of the engineering project, regulators pay more attentions to losses rather than gains. In this paper, we design a new class of risk statistics for engineering, named regulator-based risk statistics. Considering the properties of regulator-based risk statistics, we are able to derive the dual representations for them. At last, the regulator-based version is investigated.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:3056510

DOI: 10.1155/2021/3056510

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