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Principle Seminar of the Department of Probability Theory, Moscow State University
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On two approaches to coherent risk contribution D. V. Orlov |
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Abstract: We compare two approaches to risk contribution estimation for coherent risk measures:
$$ \textrm{MINV@R}_N(X) = -E\min\{ X_1, \dots, X_N \}, $$ where Also we study the asymptotic behavior of two empirical estimates of the coherent risk measure |