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The average value at risk (sometimes called expected shortfall or conditional value-at-risk or ) is a coherent risk measure, even though it is derived from Value at Risk which is not. The domain can be extended for more general Orlitz Hearts from the more typical Lp spaces .
In machine learning, specifically empirical risk minimization, MSE may refer to the empirical risk (the average loss on an observed data set), as an estimate of the true MSE (the true risk: the average loss on the actual population distribution). The MSE is a measure of the quality of an estimator.
A risk measure is defined as a mapping from a set of random variables to the real numbers. This set of random variables represents portfolio returns. The common notation for a risk measure associated with a random variable X {\displaystyle X} is ρ ( X ) {\displaystyle \rho (X)} .
One point of possible objection interests the uncertainties associated with a PSA. The PSA (Probabilistic Safety Assessment) has often no associated uncertainty, though in metrology any measure shall be related to a secondary measurement uncertainty, and in the same way any mean frequency number for a random variable shall be examined with the dispersion inside the set of data.
The risk difference (RD), excess risk, or attributable risk [1] is the difference between the risk of an outcome in the exposed group and the unexposed group. It is computed as I e − I u {\displaystyle I_{e}-I_{u}} , where I e {\displaystyle I_{e}} is the incidence in the exposed group, and I u {\displaystyle I_{u}} is the incidence in the ...
Risk is the lack of certainty about the outcome of making a particular choice. Statistically, the level of downside risk can be calculated as the product of the probability that harm occurs (e.g., that an accident happens) multiplied by the severity of that harm (i.e., the average amount of harm or more conservatively the maximum credible amount of harm).
Enterprise risk management (ERM) defines risk as those possible events or circumstances that can have negative influences on the enterprise in question, where the impact can be on the very existence, the resources (human and capital), the products and services, or the customers of the enterprise, as well as external impacts on society, markets ...
Risk is a state of uncertainty, where some possible outcomes have an undesired effect or significant loss. Measurement of risk includes a set of measured uncertainties, where some possible outcomes are losses, and the magnitudes of those losses.