Estimation of quantile oriented sensitivity indices
V\'eronique Maume-Deschamps (ICJ), Ibrahima Niang
TL;DR
This paper introduces a new approach to quantile oriented sensitivity analysis by expressing indices through the Conditional Tail Expectation risk measure and developing estimators based on this formulation.
Contribution
It presents a novel expression for quantile sensitivity indices using CTE and proposes estimators derived from this new formulation.
Findings
New expression for quantile sensitivity indices using CTE
Development of estimators based on the new expression
Enhanced understanding of tail risk sensitivity analysis
Abstract
The paper concerns quantile oriented sensitivity analysis. We rewrite the corresponding indices using the Conditional Tail Expectation risk measure. Then, we use this new expression to built estimators.
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Taxonomy
TopicsProbabilistic and Robust Engineering Design · Statistical Distribution Estimation and Applications · Risk and Portfolio Optimization