Relative bound and asymptotic comparison of expectile with respect to expected shortfall

DOI10.1016/J.INSMATHECO.2020.06.006zbMATH Open1448.62064arXiv1906.09729OpenAlexW3035128323MaRDI QIDQ784463FDOQ784463

Authors: Mekonnen Tadese, Samuel Drapeau 

Publication date: 3 August 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Abstract: Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall using duality results and the link to optimized certainty equivalent. Lower and upper bounds of expectile are derived in terms of expected shortfall as well as a characterization of expectile in terms of expected shortfall. Further, we study the asymptotic behavior of expectile with respect to expected shortfall as the confidence level goes to $1$ in terms of extreme value distributions. We use concentration inequalities to illustrate that the estimation of value at risk requires larger sample size than expected shortfall and expectile for heavy tail distributions when $alpha$ is close to $1$. Illustrating the formulation of expectile in terms of expected shortfall, we also provide explicit or semi-explicit expressions of expectile and some simulation results for some classical distributions.

Full work available at URL: https://arxiv.org/abs/1906.09729

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zbMATH Keywords

expected shortfallexpectilevalue at riskextreme valuerisk measure

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (7)

• Convex bodies generated by sublinear expectations of random vectors
• Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints
• Range-based risk measures and their applications
• Expectiles, omega ratios and stochastic ordering
• Dual representation of expectile-based expected shortfall and its properties
• TERES: tail event risk expectile shortfall
• Comparison of risks based on the expected proportional shortfall

Uses Software

• QRM

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