Large deviations built on max-stability

M. Kupper, J. M. Zapata
{"title":"Large deviations built on max-stability","authors":"M. Kupper, J. M. Zapata","doi":"10.3150/20-BEJ1263","DOIUrl":null,"url":null,"abstract":"In this paper, we show that the basic results in large deviations theory hold for general monetary risk measures, which satisfy the crucial property of max-stability. A max-stable monetary risk measure fulfills a lattice homomorphism property, and satisfies under a suitable tightness condition the Laplace Principle (LP), that is, admits a dual representation with affine convex conjugate. By replacing asymptotic concentration of probability by concentration of risk, we formulate a Large Deviation Principle (LDP) for max-stable monetary risk measures, and show its equivalence to the LP. In particular, the special case of the asymptotic entropic risk measure corresponds to the classical Varadhan-Bryc equivalence between the LDP and LP. The main results are illustrated by the asymptotic shortfall risk measure.","PeriodicalId":8426,"journal":{"name":"arXiv: Functional Analysis","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2019-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: Functional Analysis","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3150/20-BEJ1263","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 6

Abstract

In this paper, we show that the basic results in large deviations theory hold for general monetary risk measures, which satisfy the crucial property of max-stability. A max-stable monetary risk measure fulfills a lattice homomorphism property, and satisfies under a suitable tightness condition the Laplace Principle (LP), that is, admits a dual representation with affine convex conjugate. By replacing asymptotic concentration of probability by concentration of risk, we formulate a Large Deviation Principle (LDP) for max-stable monetary risk measures, and show its equivalence to the LP. In particular, the special case of the asymptotic entropic risk measure corresponds to the classical Varadhan-Bryc equivalence between the LDP and LP. The main results are illustrated by the asymptotic shortfall risk measure.
大的偏差建立在最大稳定性上
本文证明了大偏差理论的基本结果对一般货币风险测度是成立的,它满足最大稳定性的关键性质。极大稳定货币风险测度满足格同态性质,并在适当的紧性条件下满足拉普拉斯原理,即允许具有仿射凸共轭的对偶表示。通过用风险的集中代替概率的渐近集中,给出了最大稳定货币风险度量的大偏差原则,并证明了它与LP的等价性。其中,渐近熵风险测度的特殊情况对应于LDP和LP之间的经典Varadhan-Bryc等价。主要结果用渐近短缺风险测度来说明。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信