{"id":"W4376274500","doi":"10.1016/j.insmatheco.2023.05.001","title":"Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks","year":2023,"lang":"en","type":"article","venue":"Insurance Mathematics and Economics","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":7,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Waterloo","funders":"Agence Nationale de la Recherche","keywords":"Expected shortfall; Risk measure; Estimator; Measure (data warehouse); Quantile; Econometrics; Coherent risk measure; Asymptotic analysis; Mathematics; Dynamic risk measure; Spectral risk measure; Statistics; Computer science; Risk management; Economics; Data mining","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.008261247,0.001313776,0.001544299,0.003410188,0.0006386023,0.002730464,0.002225868,0.001926209,0.004888503],"category_scores_gemma":[0.05524178,0.0008030075,0.001506331,0.001613065,0.004275975,0.006158549,0.002902878,0.003500249,0.0005340916],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001926299,"about_ca_system_score_gemma":0.001380267,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001198308,"about_ca_topic_score_gemma":0.0009126685,"domain_scores_codex":[0.9980855,0.0007895486,0.000102026,0.0002894488,0.0004708915,0.0002625983],"domain_scores_gemma":[0.961256,0.02685821,0.003840559,0.002404169,0.003734222,0.001906999],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0001306088,0.0001181275,0.0041161,0.0002583158,0.0001629468,0.000379641,0.0004292997,0.07003367,0.004192049,0.8982352,0.002321548,0.01962261],"study_design_scores_gemma":[0.00002928688,0.00007076988,0.002502695,0.00007349575,0.00004201522,0.0003253484,0.0001066485,0.3347386,0.0007106925,0.6605891,0.0007513221,0.00006005571],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.3386527,0.003850099,0.6390142,0.00221332,0.0002076266,0.00009996516,0.000286232,0.000566705,0.0151091],"genre_scores_gemma":[0.9640231,0.001932287,0.02691494,0.0003045833,0.0004788854,0.0001350954,0.0003149652,0.0001746905,0.005721411],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.008261247,"threshold_uncertainty_score":0.0436902,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.1790175713270337,"score_gpt":0.339343853408245,"score_spread":0.1603262820812113,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}