An expectile computation cookbook

DOI10.1007/S11222-024-10403-XMaRDI QIDQ6547781zbMATH OpenFDO

Authors Abdelaati Daouia, Gilles Stupfler, Antoine Usseglio-Carleve

Publication date 31 May 2024

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11222-024-10403-X

zbMATH Keywords

control variatesexact computationexpectilesMonte Carlo samplingNewton-Raphson methodquadratic convergence

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Expectile asymptotics
• Statistical inference for expectile-based risk measures
• Optimal expectile smoothing
• Tail expectile process and risk assessment
• Estimation of Tail Risk Based on Extreme Expectiles

Cites work

• M-quantiles
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An Inequality for Mill's Ratio
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Asymmetric Least Squares Estimation and Testing
• Coherence and elicitability
• Coherent measures of risk
• Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
• Estimation of Tail Risk Based on Extreme Expectiles
• ExpectHill estimation, extreme risk and heavy tails
• Expectile asymptotics
• Expectile depth: theory and computation for bivariate datasets
• Expectiles and M-quantiles are quantiles
• Expectiles, omega ratios and stochastic ordering
• Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
• Extreme value theory. An introduction.
• Generalized quantiles as risk measures
• Generalizing Koenker's distribution
• Geoadditive expectile regression
• Inference for extremal regression with dependent heavy-tailed data
• Insurance risk and ruin.
• Isotonicity properties of generalized quantiles
• Making and evaluating point forecasts
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Nonparametric extreme conditional expectile estimation
• On automatic bias reduction for extreme expectile estimation
• On the generalization of the Lambert W function
• Quantile regression.
• Ruin probabilities
• Semiparametric estimation of conditional heteroscedasticity via single-index modeling
• Semiparametric small area estimation for binary outcomes with application to unemployment estimation for local authorities in the UK
• Statistical inference for expectile-based risk measures
• Stochastic orders and measures of skewness and dispersion based on expectiles
• Tail expectile process and risk assessment
• The pricing of options and corporate liabilities
• Time series: theory and methods.

Cited in

(5)

• Nonparametric estimation of conditional expectile-based risk measures
• Conditional generalized quantiles as systemic risk measures: properties, estimation, and application
• ANOVEX: ANalysis Of Variability for heavy-tailed EXtremes
• Expectiles as basis risk-optimal payment schemes in parametric insurance
• Risk measures based on target risk profiles

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