A Remark on the Structure of Expectiles
AbstractExpectiles were defined using a minimisation principle. They form a special class of coherent risk measures. We will describe the scenario set and we will show that there is a most severe commonotonic risk measure that is smaller than the given expectile.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1307.5881.
Date of creation: Jul 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-28 (All new papers)
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- Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, Open Access Journal, vol. 2(1), pages 25-48, February.
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