Coherence and elicitability (Q2831006)
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scientific article; zbMATH DE number 6646428
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| English | Coherence and elicitability |
scientific article; zbMATH DE number 6646428 |
Statements
1 November 2016
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coherent risk measure
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decision theory
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elicit ability
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expected shortfall
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expectiles
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law-invariant risk measure
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spectral risk measure
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Coherence and elicitability (English)
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The notion of elicitability is introduced, and its importance in point forecasting is described.NEWLINENEWLINEA brief introduction to law-invariant coherent risk measures is also given.NEWLINENEWLINEThe latter topic is a basic for the main results of the paper which show that law-invariant spectral risk measures are not elicitable, and that the expectiles are the only elicitable law-invariant coherent risk measures.
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0.8277042508125305
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0.8182677626609802
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0.7906285524368286
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0.789402961730957
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0.7892795205116272
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