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A generalization of Expected Shortfall based capital allocation

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  • Xun, Li
  • Zhou, Yangzhi
  • Zhou, Yong
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.

Suggested Citation

  • Xun, Li & Zhou, Yangzhi & Zhou, Yong, 2019. "A generalization of Expected Shortfall based capital allocation," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 193-199.
    • Handle: RePEc:eee:stapro:v:146:y:2019:i:c:p:193-199
    DOI: 10.1016/j.spl.2018.10.014
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    References listed on IDEAS

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    2. Tang, Qihe & Yang, Fan, 2014. "Extreme value analysis of the Haezendonck–Goovaerts risk measure with a general Young function," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 311-320.
    3. Zhu, Yunzhou & Zhang, Lixin & Zhang, Yi, 2013. "Optimal reinsurance under the Haezendonck risk measure," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1111-1116.
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    13. Ahn, Jae Youn & Shyamalkumar, Nariankadu D., 2014. "Asymptotic theory for the empirical Haezendonck–Goovaerts risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 78-90.
    14. Wang, Xing & Peng, Liang, 2016. "Inference for intermediate Haezendonck–Goovaerts risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 231-240.
    15. Tang, Qihe & Yang, Fan, 2012. "On the Haezendonck–Goovaerts risk measure for extreme risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 217-227.
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    2. Xun, Li & Jiang, Renqiao & Guo, Jianhua, 2021. "The conditional Haezendonck–Goovaerts risk measure," Statistics & Probability Letters, Elsevier, vol. 169(C).

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