Dual static CVaR decompositions suffer from a CVaR evaluation gap caused by empty intersections in risk-assignment consistency constraints, and no single policy can be optimal across all risk levels in some MDPs.
Coherent measures of risk
3 Pith papers cite this work. Polarity classification is still indexing.
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Pith papers citing it
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Bayesian EVT with Hawkes-AR-Gumbel dependence estimates CVaR up to 99.995% on simulated operational risk data and outperforms independent and shared-factor baselines.
citing papers explorer
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Bayesian Extreme Value Theory with Hawkes-AR-Gumbel Dependence for Extreme CVaR Estimation in Operational Risk
Bayesian EVT with Hawkes-AR-Gumbel dependence estimates CVaR up to 99.995% on simulated operational risk data and outperforms independent and shared-factor baselines.