Conditional expectiles, time consistency and mixture convexity properties
DOI10.1016/J.INSMATHECO.2018.07.001zbMATH Open1416.91156OpenAlexW2814926274WikidataQ129492317 ScholiaQ129492317MaRDI QIDQ1799643FDOQ1799643
Authors: Fabio Bellini, Valeria Bignozzi, Giovanni Puccetti 
Publication date: 19 October 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.07.001
Recommendations
sequential consistencytime consistencydynamic risk measuresconditional expectilesmixture concavitysupermartingale property
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Cited In (11)
- Dimension reduction techniques for conditional expectiles
- Local linear estimate of the functional expectile regression
- Bayes risk, elicitability, and the Expected Shortfall
- Parametric measures of variability induced by risk measures
- Law invariant risk measures and information divergences
- On the nonparametric estimation of the functional expectile regression
- The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors
- Asymptotic normality of the local linear estimator of the functional expectile regression
- Performance measurement with expectiles
- Measurability of functionals and of ideal point forecasts
- The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
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