Publication:
Large deviations built on max-stability

Simple item page
dc.contributorZapata García, José Miguel
dc.contributor.authorKupper, Michael
dc.contributor.departmentEstadĂ­stica e InvestigaciĂłn Operativa
dc.date.accessioned2025-01-26T10:15:43Z
dc.date.available2025-01-26T10:15:43Z
dc.date.issued2021-05
dc.description© 2021, International Statistical Institute/Bernoulli Society for Mathematical Statistics and Probability. This document is the Published version of a Published Work that appeared in final form in Bernoulli. To access the final edited and published work see https://doi.org/10.3150/20-BEJ1263
dc.description.abstractIn 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.es
dc.formatapplication/pdfes
dc.identifier.citationBernoulli 27(2), 2021, 1001–1027
dc.identifier.doihttps://doi.org/10.3150/20-BEJ1263
dc.identifier.issn1350-7265
dc.identifier.urihttp://hdl.handle.net/10201/149309
dc.languageenges
dc.relationBeca postdoctoral de la FundaciĂłn SĂ©neca 20903/PD/18es
dc.relation.publisherversionhttps://projecteuclid.org/journals/bernoulli/volume-27/issue-2/Large-deviations-built-on-max-stability/10.3150/20-BEJ1263.full
dc.rights.accessRightsinfo:eu-repo/semantics/restrictedAccess
dc.subjectLarge deviations
dc.subjectMax-stable monetary risk measures
dc.subjectLarge Deviation Principle
dc.subjectLaplace Principle
dc.subjectConcentration function
dc.subjectAsymptotic shortfall risk
dc.titleLarge deviations built on max-stabilityes
dc.typeinfo:eu-repo/semantics/articlees
dspace.entity.typePublicationes
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
2021-bernoulli-Vol27_No2-1001-1027.pdf
Size:
259.31 KB
Format:
Adobe Portable Document Format
Description:
Large Deviations Built on Max-Stability
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
2.26 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
ArtĂ­culos