Robust elicitable functionals
From MaRDI portal
Cites work
- A robust learning approach for regression models based on distributionally robust optimization
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Bayes risk, elicitability, and the Expected Shortfall
- Coherence and elicitability
- Coherent measures of risk
- Data-based ranking of realised volatility estimators
- Elicitability and backtesting: perspectives for banking regulation
- Elicitable distortion risk measures: a concise proof
- Envelope Theorems for Arbitrary Choice Sets
- Generalized quantiles as risk measures
- Higher order elicitability and Osband's principle
- scientific article; zbMATH DE number 775727 (Why is no real title available?)
- Making and evaluating point forecasts
- Model Risk Management
- Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
- On elicitable risk measures
- On Information and Sufficiency
- On the elicitability of range value at risk
- On the measurement of economic tail risk
- Portfolio selection: a target-distribution approach
- Reverse sensitivity testing: what does it take to break the model?
- Robust Actuarial Risk Analysis
- Robust distortion risk measures
- Robust risk measurement and model risk
- Robustness regions for measures of risk aggregation
- Sensitivity measures based on scoring functions
- Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
This page was built for publication: Robust elicitable functionals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6921936)
