Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements

Abstract

We propose center-outward superquantile and expected shortfall functions, with applications to multivariate risk measurements, extending the standard notion of value at risk and conditional value at risk from the real line to $\mathbb{R}^d$. Our new concepts are built upon the recent definition of Monge-Kantorovich quantiles based on the theory of optimal transport, and they provide a natural way to characterize multivariate tail probabilities and central areas of point clouds. They preserve the univariate interpretation of a typical observation that lies beyond or ahead a quantile, but in a meaningful multivariate way. We show that they characterize random vectors and their convergence in distribution, which underlines their importance. Our new concepts are illustrated on both simulated and real datasets.