Assessing the difference between integrated quantiles and integrated cumulative distribution functions

DOI10.1016/J.INSMATHECO.2023.04.002MaRDI QIDQ6171951zbMATH OpenOpenAlexFDO

Authors Yunran Wei, Ričardas Zitikis

Publication date 18 July 2023

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2210.16880

zbMATH Keywords

expected shortfallintegrated value-at-riskmodel misspecificationmodel uncertaintyquantilestatistical inferencevalue-at-risk

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

Abstract: This paper offers a mathematical invention that shows how to convert integrated quantiles, which often appear in risk measures, into integrated cumulative distribution functions, which are technically more tractable from various perspectives. The invention helps to avoid a number of technical assumptions that have been traditionally imposed when working with quantities containing quantiles. In particular it helps to completely avoid the requirement of the existence of a probability density function. The developed results explain and illustrate the invention, whose byproducts include the assessment of model uncertainty and misspecification, and the derivation of statistical inference results.

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Cited in

(3)

• Integrated quantile functions: properties and applications
• Equivalence of the problems with quantile and integral quantile criteria
• Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation

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