Conditional expectiles, time consistency and mixture convexity properties

DOI10.1016/J.INSMATHECO.2018.07.001MaRDI QIDQ1799643zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

sequential consistencytime consistencydynamic risk measuresconditional expectilesmixture concavitysupermartingale property

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 6846220 (Why is no real title available?)
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• Entropy coherent and entropy convex measures of risk
• Generalized quantiles as risk measures
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• Real Analysis and Probability
• Representation results for law invariant time consistent functions
• Risk measures with the CxLS property
• Robust return risk measures
• Stochastic finance. An introduction in discrete time.
• Time consistency conditions for acceptability measures, with an application to tail value at risk

Cited in

(13)

• Dimension reduction techniques for conditional expectiles
• Local linear estimate of the functional expectile regression
• Time-consistent conditional expectation under probability distortion
• Expectiles In Risk Averse Stochastic Programming and Dynamic Optimization
• Parametric measures of variability induced by risk measures
• Bayes risk, elicitability, and the Expected Shortfall
• 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
• Performance measurement with expectiles
• Measurability of functionals and of ideal point forecasts
• Asymptotic normality of the local linear estimator of the functional expectile regression
• The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data

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