Dual representation of expectile-based expected shortfall and its properties
From MaRDI portal
Publication:2241897
DOI10.3934/puqr.2021005zbMath1473.62354arXiv1911.03245OpenAlexW3176661485MaRDI QIDQ2241897
Mekonnen Tadese, Samuel Drapeau
Publication date: 9 November 2021
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.03245
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Utility theory (91B16) Risk models (general) (91B05)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Making and Evaluating Point Forecasts
- Asymmetric Least Squares Estimation and Testing
- Risk measures with the CxLS property
- Second order regular variation and conditional tail expectation of multiple risks
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Dual characterization of properties of risk measures on Orlicz hearts
- On convex risk measures on \(L^{p}\)-spaces
- Expectiles and \(M\)-quantiles are quantiles
- Generalized quantiles as risk measures
- Tail expectile process and risk assessment
- On the Haezendonck-Goovaerts risk measure for extreme risks
- Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
- Coherent Measures of Risk
- COHERENCE AND ELICITABILITY
- On elicitable risk measures
- PROPERTIES OF SECOND-ORDER REGULAR VARIATION AND EXPANSIONS FOR RISK CONCENTRATION
- On Kusuoka Representation of Law Invariant Risk Measures
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Stochastic finance. An introduction in discrete time
This page was built for publication: Dual representation of expectile-based expected shortfall and its properties
