A class of distortion measures generated from expectile and its estimation
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Cites work
- M-quantiles
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- Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
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- Optimal reinsurance with premium constraint under distortion risk measures
- Quantiles, expectiles and splines
- Risk Measures and Comonotonicity: A Review
- Risk-adjusted credibility premiums using distorted probabilities
- Smoothed empirical likelihood confidence intervals for quantiles
- Statistical inference for expectile-based risk measures
- The Dual Theory of Choice under Risk
- Weak convergence of quantile and expectile processes under general assumptions
- Weighted premium calculation principles
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