3 citations · 3 across the 1 of their papers we have counts for
2 papers
stat.ME2021★ 3 cited
Bias-Corrected Peaks-Over-Threshold Estimation of the CVaR
Dylan Troop, Frédéric Godin, Jia Yuan Yu
The conditional value-at-risk (CVaR) is a useful risk measure in fields such as machine learning, finance, insurance, energy, etc. When measuring very extreme risk, the commonly us…
stat.ML2019
Risk-Averse Action Selection Using Extreme Value Theory Estimates of the CVaR
Dylan Troop, Frédéric Godin, Jia Yuan Yu
In a wide variety of sequential decision making problems, it can be important to estimate the impact of rare events in order to minimize risk exposure. A popular risk measure is th…