Estimation of Spectral Risk Measures
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Abstract (arXiv)
We consider the problem of estimating a spectral risk measure (SRM) from i.i.d. samples, and propose a novel method that is based on numerical integration. We show that our SRM estimate concentrates exponentially, when the underlying distribution has bounded support. Further, we also consider the case when the underlying distribution is either Gaussian or exponential, and derive a concentration bound for our estimation scheme. We validate the theoretical findings on a synthetic setup, and in a vehicular traffic routing application.
Key facts. Cited by 9 papers in the map (data through 14 Oct 2026). First posted on arXiv 22 Dec 2019.
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Citing papers per year: 2021: 3; 2022: 4; 2023: 1; 2024: 1.
9 papers.
- 2021Spectral risk-based learning using unbounded lossescited by 8
- 2022A Survey of Risk-Aware Multi-Armed Banditscited by 8
- 2022Stochastic Optimization for Spectral Risk Measurescited by 7
- 2021Online Estimation and Optimization of Utility-Based Shortfall Riskcited by 5
- 2021A Survey of Learning Criteria Going Beyond the Usual Riskcited by 4
- 2022Tailoring to the Tails: Risk Measures for Fine-Grained Tail Sensitivitycited by 2
- 2023A Distribution Optimization Framework for Confidence Bounds of Risk Measurescited by 2
- 2024Concentration Bounds for Optimized Certainty Equivalent Risk Estimationcited by 2
- 2022Risk-aware linear bandits with convex losscited by 1
- 2024Concentration Bounds for Optimized Certainty Equivalent Risk Estimation31 May 2024
- 2023A Distribution Optimization Framework for Confidence Bounds of Risk Measures12 Jun 2023
- 2022Stochastic Optimization for Spectral Risk Measures10 Dec 2022
- 2022Risk-aware linear bandits with convex loss15 Sep 2022
- 2022Tailoring to the Tails: Risk Measures for Fine-Grained Tail Sensitivity5 Aug 2022
- 2022A Survey of Risk-Aware Multi-Armed Bandits12 May 2022
- 2021Online Estimation and Optimization of Utility-Based Shortfall Risk16 Nov 2021
- 2021A Survey of Learning Criteria Going Beyond the Usual Risk11 Oct 2021
- 2021Spectral risk-based learning using unbounded losses11 May 2021