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Multivariate shortfall risk statistics with scenario analysis

Author

Listed:
  • Xianfu Zeng
  • Haiyan Song
  • Yanhong Chen
  • Yijun Hu

Abstract

In the present paper, we construct a new class of multivariate risk statistics, which are multivariate shortfall risk statistics. First, we propose the multivariate shortfall risk statistics. Then their basic properties are investigated, and the dual representation results are studied. Furthermore, their coherency is also characterized by means of the corresponding loss function. Finally, examples are given to illustrate the proposed multivariate shortfall risk statistics.

Suggested Citation

  • Xianfu Zeng & Haiyan Song & Yanhong Chen & Yijun Hu, 2022. "Multivariate shortfall risk statistics with scenario analysis," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(3), pages 649-668, February.
    • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:3:p:649-668
    DOI: 10.1080/03610926.2020.1752726
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