On elicitable risk measures
From MaRDI portal
Cites work
- Asymmetric Least Squares Estimation and Testing
- Coherent measures of risk
- Comparative and qualitative robustness for law-invariant risk measures
- Conditional tail behaviour and Value at Risk
- Convex measures of risk and trading constraints
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Elicitation of Personal Probabilities and Expectations
- Generalized quantiles as risk measures
- Infinite dimensional analysis. A hitchhiker's guide.
- Isotonicity properties of generalized quantiles
- Making and evaluating point forecasts
- On a subjective approach to risk measurement
- Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
- Robust Statistics
- Robustness and sensitivity analysis of risk measurement procedures
- Statistical methods for financial engineering
- Stochastic finance. An introduction in discrete time
Cited in
(74)- Dynamic portfolio choice: a simulation-and-regression approach
- Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
- Quantile-based risk sharing
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Conditional generalized quantiles as systemic risk measures: properties, estimation, and application
- Short communication: An axiomatization of \(\Lambda\)-quantiles
- Probabilistic risk aversion for generalized rank-dependent functions
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Range-based risk measures and their applications
- Retire: robust expectile regression in high dimensions
- Optimal transport divergences induced by scoring functions
- Semi-parametric estimation of multivariate extreme expectiles
- Expectiles, omega ratios and stochastic ordering
- Risk measures with the CxLS property
- On the properties of the lambda value at risk: robustness, elicitability and consistency
- Dual representation of expectile-based expected shortfall and its properties
- Extremes for multivariate expectiles
- Scenario analysis for derivative portfolios via dynamic factor models
- Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
- Distributionally robust reinsurance with expectile
- Computational analysis of expectile and deviation expectile portfolio optimization models
- Optimal strategies under omega ratio
- Large deviations for risk measures in finite mixture models
- On a capital allocation by minimization of some risk indicators
- Scenario aggregation method for portfolio expectile optimization
- An extreme worst-case risk measure by expectile
- Mean-variance-VaR portfolios: MIQP formulation and performance analysis
- A risk measurement approach from risk-averse stochastic optimization of score functions
- Risk-adaptive approaches to stochastic optimization: a survey
- Backtesting VaR and expectiles with realized scores
- An energy-based measure for long-run horizon risk quantification
- Robust and Pareto optimality of insurance contracts
- Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals
- Multivariate Shortfall Risk Allocation and Systemic Risk
- Is the inf-convolution of law-invariant preferences law-invariant?
- Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
- An axiomatic characterization of the quantile risk-sharing rule
- Portfolio optimization under shortfall risk constraint
- Regulatory arbitrage of risk measures
- Why scoring functions cannot assess tail properties
- Reducing model risk via positive and negative dependence assumptions
- Expectiles as basis risk-optimal payment schemes in parametric insurance
- Shortfall Risk Models When Information on Loss Function Is Incomplete
- Nonparametric estimation of conditional expectile-based risk measures
- How superadditive can a risk measure be?
- Bayes risk, elicitability, and the Expected Shortfall
- Higher order elicitability and Osband's principle
- On expectiles and almost stochastic dominance
- Elicitability and identifiability of set-valued measures of systemic risk
- Distorted expectiles risk measure and LP formulation
- On the measurement of economic tail risk
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
- Computing near-optimal value-at-risk portfolios using integer programming techniques
- A kernel-based stochastic approximation framework for contextual optimization
- Portfolio optimization with expectile value at risk and conditional value at risk: deviation measure and robust allocation
- Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error
- Elicitability and identifiability of tail risk measures
- Implicit expectiles and measures of implied volatility
- On multivariate extensions of the conditional value-at-risk measure
- Elicitable distortion risk measures: a concise proof
- Multinomial backtesting of distortion risk measures
- Estimation and backtesting of risk measures with emphasis on distortion risk measures
- Robust elicitable functionals
- Performance measurement with expectiles
- Measurability of functionals and of ideal point forecasts
- A note on the induction of comonotonic additive risk measures from acceptance sets
- Expectile regression via deep residual networks
- Multivariate extensions of expectiles risk measures
- Distributionally robust shortfall risk optimization model and its approximation
- A theory for measures of tail risk
- The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
- Conditional expectiles, time consistency and mixture convexity properties
- Simulation methods for robust risk assessment and the distorted mix approach
- Set-valued expectiles for ordered data analysis
This page was built for publication: On elicitable risk measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4683090)
