Generalized quantiles as risk measures
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Publication:2015471
Recommendations
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Estimation of Tail Risk Based on Extreme Expectiles
- Dual representation of expectile-based expected shortfall and its properties
- Statistical inference for expectile-based risk measures
Cites work
- scientific article; zbMATH DE number 50401 (Why is no real title available?)
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3225653 (Why is no real title available?)
- M-quantiles
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Cited in
(only showing first 100 items - show all)- Tail risk inference via expectiles in heavy-tailed time series
- Deterministic computation of quantiles in a Lipschitz framework
- Bayesian composite \(L^p\)-quantile regression
- Estimation and backtesting of risk measures with emphasis on distortion risk measures
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
- Learning rates for kernel-based expectile regression
- Performance measurement with expectiles
- Measurability of functionals and of ideal point forecasts
- Estimation of the adjusted standard-deviatile for extreme risks
- Expectile regression via deep residual networks
- Multivariate extensions of expectiles risk measures
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- Minimal representation of insurance prices
- Reverse sensitivity testing: what does it take to break the model?
- 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
- Inter-order relations between equivalence for \(L_p\)-quantiles of the Student's \(t\) distribution
- Testing Granger non-causality in expectiles
- An expectile computation cookbook
- Implied value-at-risk and model-free simulation
- Optimal expected utility risk measures
- Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
- Haezendonck-Goovaerts risk measures and Orlicz quantiles
- Convex bodies generated by sublinear expectations of random vectors
- Systemic Risk in Networks with a Central Node
- Optimization with stochastic preferences based on a general class of scalarization functions
- Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
- A generalized measure of riskiness
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Risk measures beyond frictionless markets
- Extreme-aggregation measures in the RDEU model
- Dimension reduction techniques for conditional expectiles
- Expectile depth: theory and computation for bivariate datasets
- Nonparametric inference for VaR, CTE, and expectile with high-order precision
- Upper bounds for strictly concave distortion risk measures on moment spaces
- First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function
- On the \(L_p\)-quantiles for the Student \(t\) distribution
- Stochastic orders and measures of skewness and dispersion based on expectiles
- Tail asymptotics of generalized deflated risks with insurance applications
- Measurement of bivariate risks by the north-south quantile points approach
- Reinsurance premium principles based on weighted loss functions
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- An SVM-like approach for expectile regression
- Tolerance intervals for quantiles of bivariate risks and risk measurement
- Parametric expectile regression and its application for premium calculation
- Mark to market value at risk
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- On elicitable risk measures
- Aggregation of opinions and risk measures
- Generalizing Koenker's distribution
- Statistical inference for expectile-based risk measures
- Diversification quotients based on VaR and ES
- Semi-parametric estimation of multivariate extreme expectiles
- Expectiles, omega ratios and stochastic ordering
- Tails of higher-order moments with dominatedly varying summands
- Risk measures based on behavioural economics theory
- Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles
- The use of flexible quantile-based measures in risk assessment
- Risk measures with the CxLS property
- Dual representation of expectile-based expected shortfall and its properties
- Weak convergence of quantile and expectile processes under general assumptions
- Optimal reinsurance with expectile
- Tail expectile process and risk assessment
- Distributionally robust reinsurance with expectile
- Point forecasting and forecast evaluation with generalized Huber loss
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- Mean-expectile portfolio selection
- Performance ratio-based coherent risk measure and its application
- Scenario aggregation method for portfolio expectile optimization
- Expectile asymptotics
- Robustness regions for measures of risk aggregation
- Risk parity with expectiles
- Risk concentration and the mean-expected shortfall criterion
- On coherent risk measures induced by convex risk measures
- A new robust risk measure: quantile shortfall
- Coherence and elicitability
- Extremile Regression
- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
- Connection between higher order measures of risk and stochastic dominance
- Asymptotic distributions and performance of empirical skewness measures
- On the dependence structure between S\&P500, VIX and implicit interexpectile differences
- Isotonicity properties of generalized quantiles
- Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
- Extended Mckean-Vlasov optimal stochastic control applied to smart grid management,
- On a robust risk measurement approach for capital determination errors minimization
- ExpectHill estimation, extreme risk and heavy tails
- Backtesting VaR and expectiles with realized scores
- Intra‐Horizon expected shortfall and risk structure in models with jumps
- What attitudes to risk underlie distortion risk measure choices?
- Insurance valuation: A two-step generalised regression approach
- Spatial expectile predictions for elliptical random fields
- Backtestability and the ridge backtest
- The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data
- Econometric modeling of risk measures: a selective review of the recent literature
- Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes
- The local linear functional \(k\)NN estimator of the conditional expectile: uniform consistency in number of neighbors
- Extreme $$L^p$$-quantile Kernel Regression
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- Optimal insurance design in the presence of exclusion clauses
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