Risk functionals with convex level sets

DOI10.1111/mafi.12270OpenAlexW2965384330MaRDI QIDQ5855959

Yunran Wei, Ruodu Wang

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12270

zbMATH Keywords

quantilesexpected shortfallconvex level setselicitabilitybacktestability

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (8)

Bayes risk, elicitability, and the Expected Shortfall ⋮ Exchangeable Bernoulli distributions: high dimensional simulation, estimation, and testing ⋮ One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles ⋮ Sensitivity measures based on scoring functions ⋮ DISTORTION RISKMETRICS ON GENERAL SPACES ⋮ Scoring interval forecasts: equal-tailed, shortest, and modal interval ⋮ Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals ⋮ On the elicitability of range value at risk

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