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Constructing elicitable risk measures

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Listed:
  • Akif Ince
  • Marlon Moresco
  • Ilaria Peri
  • Silvana M. Pesenti

Abstract

We provide a constructive way of defining new elicitable risk measures that are characterised by a multiplicative scoring function. We show that depending on the choice of the scoring function's components, the resulting risk measure possesses properties such as monotonicity, translation invariance, convexity, and positive homogeneity. Our framework encompasses the majority of well-known elicitable risk measures including all elicitable convex and coherent risk measures. Our setting moreover allows to construct novel elicitable risk measures that are, for example, convex but not coherent. Furthermore, we discuss how higher-order elicitability, such as jointly eliciting the mean and variance or different quantile levels, fall within our setting.

Suggested Citation

  • Akif Ince & Marlon Moresco & Ilaria Peri & Silvana M. Pesenti, 2025. "Constructing elicitable risk measures," Papers 2503.03471, arXiv.org.
    • Handle: RePEc:arx:papers:2503.03471
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    References listed on IDEAS

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