{"id":"https://openalex.org/W4310386097","doi":"https://doi.org/10.1137/22m1539344","title":"Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms","display_name":"Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms","publication_year":2024,"publication_date":"2024-08-08","ids":{"openalex":"https://openalex.org/W4310386097","doi":"https://doi.org/10.1137/22m1539344"},"language":"en","primary_location":{"is_oa":false,"landing_page_url":"https://doi.org/10.1137/22m1539344","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_indexed_in_scopus":true,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false},"type":"article","type_crossref":"journal-article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-03871246/document","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5002038817","display_name":"Sarah Kaaka\u00ef","orcid":"https://orcid.org/0000-0003-1729-7886"},"institutions":[{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"government","lineage":["https://openalex.org/I1294671590"]},{"id":"https://openalex.org/I4210108471","display_name":"Le Mans Universit\u00e9","ror":"https://ror.org/01mtcc283","country_code":"FR","type":"funder","lineage":["https://openalex.org/I4210108471"]},{"id":"https://openalex.org/I4210107641","display_name":"Centre de Math\u00e9matiques Appliqu\u00e9es","ror":"https://ror.org/012e1xn46","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I142476485","https://openalex.org/I4210107641","https://openalex.org/I4210141950","https://openalex.org/I4210145102"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Sarah Kaaka\u00ef","raw_affiliation_strings":["Laboratoire Manceau de Math\u00e9matiques & FR CNRS No.\u00a02962, Institut du Risque et de l\u2019Assurance, Le Mans Universit\u00e9, and Centre de Math\u00e9matiques Appliqu\u00e9es, CNRS, \u00c9cole polytechnique, France."],"affiliations":[{"raw_affiliation_string":"Laboratoire Manceau de Math\u00e9matiques & FR CNRS No.\u00a02962, Institut du Risque et de l\u2019Assurance, Le Mans Universit\u00e9, and Centre de Math\u00e9matiques Appliqu\u00e9es, CNRS, \u00c9cole polytechnique, France.","institution_ids":["https://openalex.org/I1294671590","https://openalex.org/I4210108471","https://openalex.org/I4210107641"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5081180246","display_name":"Anis Matoussi","orcid":"https://orcid.org/0000-0002-8814-9402"},"institutions":[{"id":"https://openalex.org/I4210108471","display_name":"Le Mans Universit\u00e9","ror":"https://ror.org/01mtcc283","country_code":"FR","type":"funder","lineage":["https://openalex.org/I4210108471"]},{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"government","lineage":["https://openalex.org/I1294671590"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Anis Matoussi","raw_affiliation_strings":["Laboratoire Manceau de Math\u00e9matiques & FR CNRS No. 2962, Institut du Risque et de l\u2019Assurance, Le Mans Universit\u00e9, France."],"affiliations":[{"raw_affiliation_string":"Laboratoire Manceau de Math\u00e9matiques & FR CNRS No. 2962, Institut du Risque et de l\u2019Assurance, Le Mans Universit\u00e9, France.","institution_ids":["https://openalex.org/I4210108471","https://openalex.org/I1294671590"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5086182845","display_name":"Achraf Tamtalini","orcid":null},"institutions":[{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"government","lineage":["https://openalex.org/I1294671590"]},{"id":"https://openalex.org/I4210108471","display_name":"Le Mans Universit\u00e9","ror":"https://ror.org/01mtcc283","country_code":"FR","type":"funder","lineage":["https://openalex.org/I4210108471"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Achraf Tamtalini","raw_affiliation_strings":["Laboratoire Manceau de Math\u00e9matiques & FR CNRS No. 2962, Institut du Risque et de l\u2019Assurance, Le Mans Universit\u00e9, France."],"affiliations":[{"raw_affiliation_string":"Laboratoire Manceau de Math\u00e9matiques & FR CNRS No. 2962, Institut du Risque et de l\u2019Assurance, Le Mans Universit\u00e9, France.","institution_ids":["https://openalex.org/I1294671590","https://openalex.org/I4210108471"]}]}],"institution_assertions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.0,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":0,"max":79},"biblio":{"volume":"15","issue":"3","first_page":"700","last_page":"733"},"is_retracted":false,"is_paratext":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9985,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9985,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10928","display_name":"Probabilistic and Robust Engineering Design","score":0.9883,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11195","display_name":"Simulation Techniques and Applications","score":0.9834,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[],"concepts":[{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.74498767},{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.699329},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.6926058},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.49935436},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.45028856},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.44892216},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.38111767},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.36480343},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.27781343},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.27000892},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.26847556},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.13256308},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.12273717},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.07100108},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.05936894},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0}],"mesh":[],"locations_count":8,"locations":[{"is_oa":false,"landing_page_url":"https://doi.org/10.1137/22m1539344","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_indexed_in_scopus":true,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false},{"is_oa":true,"landing_page_url":"https://hal.archives-ouvertes.fr/hal-03871246","pdf_url":"https://hal.science/hal-03871246/document","source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_indexed_in_scopus":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":["Centre National de la Recherche Scientifique"],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false},{"is_oa":true,"landing_page_url":"https://hal.science/hal-03871246v2/file/Estimation_of_Systemic_Shortfall_Risk_Measure_Using_Stochastic_Algorithms_revision_HALV2.pdf","pdf_url":"https://hal.science/hal-03871246v2/file/Estimation_of_Systemic_Shortfall_Risk_Measure_Using_Stochastic_Algorithms_revision_HALV2.pdf","source":null,"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false},{"is_oa":true,"landing_page_url":"https://hal.science/hal-03871246v3/file/Estimation_of_Systemic_Shortfall_Risk_Measure_Using_Stochastic_Algorithms_revision_R2-Hal.pdf","pdf_url":"https://hal.science/hal-03871246v3/file/Estimation_of_Systemic_Shortfall_Risk_Measure_Using_Stochastic_Algorithms_revision_R2-Hal.pdf","source":null,"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false},{"is_oa":true,"landing_page_url":"https://hal.science/hal-03871246v3/document","pdf_url":"https://hal.science/hal-03871246v3/document","source":null,"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false},{"is_oa":true,"landing_page_url":"https://hal.science/hal-03871246v2/document","pdf_url":"https://hal.science/hal-03871246v2/document","source":null,"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false},{"is_oa":true,"landing_page_url":"https://hal.archives-ouvertes.fr/hal-03871246/document","pdf_url":"https://hal.archives-ouvertes.fr/hal-03871246/document","source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_indexed_in_scopus":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":["Centre National de la Recherche Scientifique"],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false},{"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2211.16159","pdf_url":"https://arxiv.org/pdf/2211.16159","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_indexed_in_scopus":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":["Cornell University"],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false}],"best_oa_location":{"is_oa":true,"landing_page_url":"https://hal.archives-ouvertes.fr/hal-03871246","pdf_url":"https://hal.science/hal-03871246/document","source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_indexed_in_scopus":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":["Centre National de la Recherche Scientifique"],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false},"sustainable_development_goals":[],"grants":[{"funder":"https://openalex.org/F4320320300","funder_display_name":"European Commission","award_id":"ERC, SINGER, 101054787"},{"funder":"https://openalex.org/F4320320883","funder_display_name":"Agence Nationale de la Recherche","award_id":"ANR-21-CE46-0002"}],"datasets":[],"versions":[],"referenced_works_count":33,"referenced_works":["https://openalex.org/W1486118835","https://openalex.org/W1487127700","https://openalex.org/W1490672731","https://openalex.org/W1499021337","https://openalex.org/W1568229137","https://openalex.org/W1647779468","https://openalex.org/W1912725461","https://openalex.org/W1975193898","https://openalex.org/W1978662109","https://openalex.org/W2007181101","https://openalex.org/W2019291268","https://openalex.org/W2028785275","https://openalex.org/W2029091905","https://openalex.org/W2045529264","https://openalex.org/W2046396733","https://openalex.org/W2065756054","https://openalex.org/W2086161653","https://openalex.org/W2100100053","https://openalex.org/W2112693915","https://openalex.org/W2125812768","https://openalex.org/W2133555934","https://openalex.org/W2141870784","https://openalex.org/W2148993855","https://openalex.org/W2153141513","https://openalex.org/W2167057536","https://openalex.org/W2257202712","https://openalex.org/W2618997489","https://openalex.org/W2963052900","https://openalex.org/W3099848468","https://openalex.org/W3102385017","https://openalex.org/W4247165901","https://openalex.org/W4249667877","https://openalex.org/W4293078920"],"related_works":["https://openalex.org/W4301377905","https://openalex.org/W3125320887","https://openalex.org/W3123849834","https://openalex.org/W3123779767","https://openalex.org/W3121865400","https://openalex.org/W3121825436","https://openalex.org/W3121495956","https://openalex.org/W2950198523","https://openalex.org/W2408851247","https://openalex.org/W2187965758"],"abstract_inverted_index":null,"abstract_inverted_index_v3":null,"cited_by_api_url":"https://api.openalex.org/works?filter=cites:W4310386097","counts_by_year":[],"updated_date":"2025-03-23T14:42:06.131298","created_date":"2022-12-10"}