Distorted expectiles risk measure and LP formulation

DOI10.1016/J.SPL.2025.110496MaRDI QIDQ6880306zbMATH OpenFDO

Authors Sally Giuseppe Arcidiacono, Damiano Rossello

Publication date 19 December 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2025.110496

zbMATH Keywords

distorted expectationdistortion risk measureexpectilesgeneralized quantilesrank-dependent expected utility theory

Mathematics Subject Classification ID

Utility theory (91B16) Statistical methods; risk measures (91G70)

Cites work

• Analytical approximation for distorted expectations
• Generalized quantiles as risk measures
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Integral Representation Without Additivity
• Minimization of a Non-Separable Objective Function Subject to Disjoint Constraints
• On elicitable risk measures
• Risk measures based on behavioural economics theory
• Stochastic finance. An introduction in discrete time.
• The Dual Theory of Choice under Risk

Cited in

(1)

• Portfolio optimization with probability distortion

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