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Distribution‐Invariant Risk Measures, Information, And Dynamic Consistency

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Cited by:

  1. Anthony Coache & Sebastian Jaimungal, 2021. "Reinforcement Learning with Dynamic Convex Risk Measures," Papers 2112.13414, arXiv.org, revised Nov 2022.
  2. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
  3. Freddy Delbaen, 2021. "Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions," Finance and Stochastics, Springer, vol. 25(3), pages 597-614, July.
  4. Beatrice Acciaio & Irina Penner, 2010. "Dynamic risk measures," Papers 1002.3794, arXiv.org.
  5. Roorda Berend & Schumacher Hans, 2013. "Membership conditions for consistent families of monetary valuations," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.
  6. Liu, Peng & Wang, Ruodu & Wei, Linxiao, 2020. "Is the inf-convolution of law-invariant preferences law-invariant?," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 144-154.
  7. Anthony Coache & Sebastian Jaimungal & 'Alvaro Cartea, 2022. "Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning," Papers 2206.14666, arXiv.org, revised May 2023.
  8. So Yeon Chun & Alexander Shapiro & Stan Uryasev, 2012. "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," Operations Research, INFORMS, vol. 60(4), pages 739-756, August.
  9. Beatrice Acciaio & Hans Foellmer & Irina Penner, 2010. "Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles," Papers 1002.3627, arXiv.org.
  10. Bignozzi, Valeria & Macci, Claudio & Petrella, Lea, 2018. "Large deviations for risk measures in finite mixture models," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 84-92.
  11. Fissler, Tobias & Pesenti, Silvana M., 2023. "Sensitivity measures based on scoring functions," European Journal of Operational Research, Elsevier, vol. 307(3), pages 1408-1423.
  12. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014. "A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time," Papers 1409.7028, arXiv.org, revised Sep 2017.
  13. Samuel Drapeau & Mekonnen Tadese, 2019. "Dual Representation of Expectile based Expected Shortfall and Its Properties," Papers 1911.03245, arXiv.org.
  14. Lacker Daniel, 2018. "Law invariant risk measures and information divergences," Dependence Modeling, De Gruyter, vol. 6(1), pages 228-258, November.
  15. Antonio Naimoli & Giuseppe Storti, 2021. "Forecasting Volatility and Tail Risk in Electricity Markets," JRFM, MDPI, vol. 14(7), pages 1-17, June.
  16. Damiano Rossello, 2022. "Performance measurement with expectiles," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 343-374, June.
  17. Wang, Ruodu & Ziegel, Johanna F., 2015. "Elicitable distortion risk measures: A concise proof," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 172-175.
  18. Tobias Fissler & Michael Merz & Mario V. Wuthrich, 2021. "Deep Quantile and Deep Composite Model Regression," Papers 2112.03075, arXiv.org.
  19. Ruodu Wang & Yunran Wei, 2020. "Risk functionals with convex level sets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1337-1367, October.
  20. Samuel Drapeau & Mekonnen Tadese, 2019. "Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall," Papers 1906.09729, arXiv.org, revised Jun 2020.
  21. Yannick Armenti & Stéphane Crépey & Samuel Drapeau & Antonis Papapantoleon, 2018. "Multivariate Shortfall Risk Allocation and Systemic Risk," Working Papers hal-01764398, HAL.
  22. Freddy Delbaen & Fabio Bellini & Valeria Bignozzi & Johanna F. Ziegel, 2014. "Risk measures with the CxLS property," Papers 1411.0426, arXiv.org.
  23. Roger J. A. Laeven & Mitja Stadje, 2013. "Entropy Coherent and Entropy Convex Measures of Risk," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 265-293, May.
  24. Bäuerle, Nicole & Glauner, Alexander, 2022. "Markov decision processes with recursive risk measures," European Journal of Operational Research, Elsevier, vol. 296(3), pages 953-966.
  25. Tadese, Mekonnen & Drapeau, Samuel, 2020. "Relative bound and asymptotic comparison of expectile with respect to expected shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 387-399.
  26. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
  27. Nicole EL KAROUI & Claudia RAVANELLI, 2008. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Swiss Finance Institute Research Paper Series 08-09, Swiss Finance Institute.
  28. Rama Cont & Mihai Cucuringu & Renyuan Xu & Chao Zhang, 2022. "Tail-GAN: Learning to Simulate Tail Risk Scenarios," Papers 2203.01664, arXiv.org, revised Mar 2023.
  29. Natalia Nolde & Johanna F. Ziegel, 2016. "Elicitability and backtesting: Perspectives for banking regulation," Papers 1608.05498, arXiv.org, revised Feb 2017.
  30. Sebastian Bayer & Timo Dimitriadis, 2018. "Regression Based Expected Shortfall Backtesting," Papers 1801.04112, arXiv.org, revised Sep 2019.
  31. Gundel, Anne & Weber, Stefan, 2008. "Utility maximization under a shortfall risk constraint," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1126-1151, December.
  32. William B. Haskell & Wenjie Huang & Huifu Xu, 2018. "Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions," Papers 1805.06632, arXiv.org.
  33. Hellmann, Tobias & Riedel, Frank, 2015. "A dynamic extension of the Foster–Hart measure of riskiness," Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 66-70.
  34. Volker Krätschmer & Alexander Schied & Henryk Zähle, 2014. "Comparative and qualitative robustness for law-invariant risk measures," Finance and Stochastics, Springer, vol. 18(2), pages 271-295, April.
  35. Enilov, Martin & Mensi, Walid & Stankov, Petar, 2023. "Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic," Journal of Commodity Markets, Elsevier, vol. 29(C).
  36. Timo Dimitriadis & Julie Schnaitmann, 2019. "Forecast Encompassing Tests for the Expected Shortfall," Papers 1908.04569, arXiv.org, revised Aug 2020.
  37. Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
  38. Mucahit Aygun & Fabio Bellini & Roger J. A. Laeven, 2023. "Elicitability of Return Risk Measures," Papers 2302.13070, arXiv.org, revised Mar 2023.
  39. Schur, Rouven & Gönsch, Jochen & Hassler, Michael, 2019. "Time-consistent, risk-averse dynamic pricing," European Journal of Operational Research, Elsevier, vol. 277(2), pages 587-603.
  40. Qinyu Wu & Fan Yang & Ping Zhang, 2023. "Conditional generalized quantiles based on expected utility model and equivalent characterization of properties," Papers 2301.12420, arXiv.org.
  41. Soren Bettels & Sojung Kim & Stefan Weber, 2022. "Multinomial Backtesting of Distortion Risk Measures," Papers 2201.06319, arXiv.org, revised Jan 2024.
  42. Bellini, Fabio & Laeven, Roger J.A. & Rosazza Gianin, Emanuela, 2021. "Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures," European Journal of Operational Research, Elsevier, vol. 291(2), pages 438-446.
  43. Kim, Sojung & Weber, Stefan, 2022. "Simulation methods for robust risk assessment and the distorted mix approach," European Journal of Operational Research, Elsevier, vol. 298(1), pages 380-398.
  44. Jingnan Fan & Andrzej Ruszczynski, 2014. "Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems," Papers 1411.2675, arXiv.org, revised Nov 2016.
  45. Sebastian Bayer & Timo Dimitriadis, 2022. "Regression-Based Expected Shortfall Backtesting [Backtesting Expected Shortfall]," Journal of Financial Econometrics, Oxford University Press, vol. 20(3), pages 437-471.
  46. Tobias Fissler & Hajo Holzmann, 2022. "Measurability of functionals and of ideal point forecasts," Papers 2203.08635, arXiv.org.
  47. Bruzda, Joanna, 2019. "Quantile smoothing in supply chain and logistics forecasting," International Journal of Production Economics, Elsevier, vol. 208(C), pages 122-139.
  48. Gundel, Anne & Weber, Stefan, 2007. "Robust utility maximization with limited downside risk in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1663-1688, November.
  49. Samuel Solgon Santos & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2022. "The limitations of comonotonic additive risk measures: a literature review," Papers 2212.13864, arXiv.org, revised Jan 2024.
  50. Daniel Lacker, 2015. "Law invariant risk measures and information divergences," Papers 1510.07030, arXiv.org, revised Jun 2016.
  51. Fissler Tobias & Ziegel Johanna F., 2021. "On the elicitability of range value at risk," Statistics & Risk Modeling, De Gruyter, vol. 38(1-2), pages 25-46, January.
  52. Fissler, Tobias & Merz, Michael & Wüthrich, Mario V., 2023. "Deep quantile and deep composite triplet regression," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 94-112.
  53. Roorda, Berend & Schumacher, J.M., 2007. "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.
  54. D. Madan & M. Pistorius & M. Stadje, 2017. "On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation," Finance and Stochastics, Springer, vol. 21(4), pages 1073-1102, October.
  55. Xue Dong He & Xianhua Peng, 2017. "Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk," Papers 1707.05596, arXiv.org, revised Jan 2018.
  56. Volker Krätschmer & Henryk Zähle, 2017. "Statistical Inference for Expectile-based Risk Measures," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(2), pages 425-454, June.
  57. Arthur Charpentier, 2018. "An introduction to multivariate and dynamic risk measures," Working Papers hal-01831481, HAL.
  58. Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers 1405.3769, arXiv.org, revised May 2014.
  59. Pitera, Marcin & Schmidt, Thorsten, 2018. "Unbiased estimation of risk," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 133-145.
  60. Samuel Drapeau & Michael Kupper, 2013. "Risk Preferences and Their Robust Representation," Mathematics of Operations Research, INFORMS, vol. 38(1), pages 28-62, February.
  61. Tobias Fissler & Jana Hlavinová & Birgit Rudloff, 2021. "Elicitability and identifiability of set-valued measures of systemic risk," Finance and Stochastics, Springer, vol. 25(1), pages 133-165, January.
  62. Fabio Bellini & Ilia Negri & Mariya Pyatkova, 2019. "Backtesting VaR and expectiles with realized scores," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(1), pages 119-142, March.
  63. Timo Dimitriadis & Tobias Fissler & Johanna Ziegel, 2020. "The Efficiency Gap," Papers 2010.14146, arXiv.org, revised Sep 2022.
  64. Zhaolin Hu & Dali Zhang, 2018. "Utility‐based shortfall risk: Efficient computations via Monte Carlo," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(5), pages 378-392, August.
  65. Cheridito, Patrick & Stadje, Mitja, 2009. "Time-inconsistency of VaR and time-consistent alternatives," Finance Research Letters, Elsevier, vol. 6(1), pages 40-46, March.
  66. Bellini, Fabio & Bignozzi, Valeria & Puccetti, Giovanni, 2018. "Conditional expectiles, time consistency and mixture convexity properties," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 117-123.
  67. Owusu Junior, Peterson & Alagidede, Imhotep, 2020. "Risks in emerging markets equities: Time-varying versus spatial risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
  68. Marco Frittelli & Marco Maggis, 2017. "Disentangling Price, Risk and Model Risk: V&R measures," Papers 1703.01329, arXiv.org, revised Jul 2017.
  69. Wei Wang & Huifu Xu, 2023. "Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making," Computational Management Science, Springer, vol. 20(1), pages 1-51, December.
  70. Cameron A. MacKenzie, 2014. "Summarizing Risk Using Risk Measures and Risk Indices," Risk Analysis, John Wiley & Sons, vol. 34(12), pages 2143-2162, December.
  71. Liu, Fangda & Cai, Jun & Lemieux, Christiane & Wang, Ruodu, 2020. "Convex risk functionals: Representation and applications," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 66-79.
  72. Naimoli, Antonio & Gerlach, Richard & Storti, Giuseppe, 2022. "Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators," Economic Modelling, Elsevier, vol. 107(C).
  73. Domenico Cuoco & Hua He & Sergei Isaenko, 2008. "Optimal Dynamic Trading Strategies with Risk Limits," Operations Research, INFORMS, vol. 56(2), pages 358-368, April.
  74. Santiago Carrillo Menéndez & Bertrand Kian Hassani, 2021. "Expected Shortfall Reliability—Added Value of Traditional Statistics and Advanced Artificial Intelligence for Market Risk Measurement Purposes," Mathematics, MDPI, vol. 9(17), pages 1-20, September.
  75. Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2019. "Quantifying Risk in Traditional Energy and Sustainable Investments," Sustainability, MDPI, vol. 11(3), pages 1-22, January.
  76. Rüdiger Kiesel & Robin Rühlicke & Gerhard Stahl & Jinsong Zheng, 2016. "The Wasserstein Metric and Robustness in Risk Management," Risks, MDPI, vol. 4(3), pages 1-14, August.
  77. Sainan Zhang & Huifu Xu, 2022. "Insurance premium-based shortfall risk measure induced by cumulative prospect theory," Computational Management Science, Springer, vol. 19(4), pages 703-738, October.
  78. Alexander S. Cherny, 2009. "Capital Allocation And Risk Contribution With Discrete‐Time Coherent Risk," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 13-40, January.
  79. Jörn Dunkel & Stefan Weber, 2010. "Stochastic Root Finding and Efficient Estimation of Convex Risk Measures," Operations Research, INFORMS, vol. 58(5), pages 1505-1521, October.
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