Abstract: In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (2006), we show that these risk measures can be identified with a class of generalized shortfall risk measures. As a direct consequence, we are able to extend the results in Ziegel (2014) and Bellini and Bignozzi (2014) on convex elicitable risk measures and confirm that expectiles are the only elicitable coherent risk measures. Further, we provide a simple characterization of robustness for convex risk measures in terms of a weak notion of mixture continuity.
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- scientific article; zbMATH DE number 50401 (Why is no real title available?)
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
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Cited in
(31)- Quantile-based risk sharing
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Range-based risk measures and their applications
- Multivariate shortfall risk statistics with scenario analysis
- Dual representation of expectile-based expected shortfall and its properties
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