Generalized quantiles as risk measures
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Publication:2015471
DOI10.1016/J.INSMATHECO.2013.10.015zbMATH Open1303.91089OpenAlexW3122170229WikidataQ60430061 ScholiaQ60430061MaRDI QIDQ2015471FDOQ2015471
Authors: Fabio Bellini, Alfred Müller, Emanuela Rosazza Gianin, Bernhard Klar 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.10.015
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Cited In (only showing first 100 items - show all)
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- Tolerance intervals for quantiles of bivariate risks and risk measurement
- On elicitable risk measures
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- Generalizing Koenker's distribution
- Semi-parametric estimation of multivariate extreme expectiles
- Expectiles, omega ratios and stochastic ordering
- Risk measures based on behavioural economics theory
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- Risk measures with the CxLS property
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- Optimal reinsurance with expectile
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- Mean-expectile portfolio selection
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- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
- A new robust risk measure: quantile shortfall
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- What attitudes to risk underlie distortion risk measure choices?
- Extreme $$L^p$$-quantile Kernel Regression
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- Aggregation of opinions and risk measures
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- Tails of higher-order moments with dominatedly varying summands
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