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Generalized quantiles as risk measures

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Cited by:

  1. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.
  2. Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2023. "Testing Granger Non-Causality in Expectiles," University of East Anglia School of Economics Working Paper Series 2023-02, School of Economics, University of East Anglia, Norwich, UK..
  3. Ling, Chengxiu & Peng, Zuoxiang, 2016. "Tail asymptotics of generalized deflated risks with insurance applications," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 220-231.
  4. Chen, Yu & Ma, Mengyuan & Sun, Hongfang, 2023. "Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 142-162.
  5. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2017. "Extreme M-quantiles as risk measures: From L1 to Lp optimization," TSE Working Papers 17-841, Toulouse School of Economics (TSE).
  6. Edgars Jakobsons & Steven Vanduffel, 2015. "Dependence Uncertainty Bounds for the Expectile of a Portfolio," Risks, MDPI, vol. 3(4), pages 1-25, December.
  7. Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, vol. 6(4), pages 1-28, December.
  8. Lauer, Alexandra & Zähle, Henryk, 2017. "Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 99-108.
  9. Samuel Drapeau & Mekonnen Tadese, 2019. "Dual Representation of Expectile based Expected Shortfall and Its Properties," Papers 1911.03245, arXiv.org.
  10. Geissel Sebastian & Sass Jörn & Seifried Frank Thomas, 2018. "Optimal expected utility risk measures," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 73-87, January.
  11. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
  12. 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.
  13. Said Khalil, 2022. "Expectile-based capital allocation," Working Papers hal-03816525, HAL.
  14. Patrick Schmidt & Matthias Katzfuss & Tilmann Gneiting, 2021. "Interpretation of point forecasts with unknown directive," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 728-743, September.
  15. Chen, Ouxiang & Hu, Taizhong, 2019. "Extreme-aggregation measures in the RDEU model," Statistics & Probability Letters, Elsevier, vol. 148(C), pages 155-163.
  16. 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.
  17. Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2023. "Extreme expectile estimation for short-tailed data, with an application to market risk assessment," TSE Working Papers 23-1414, Toulouse School of Economics (TSE).
  18. Jakobsons Edgars, 2016. "Scenario aggregation method for portfolio expectile optimization," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 51-65, September.
  19. Natalia Nolde & Johanna F. Ziegel, 2016. "Elicitability and backtesting: Perspectives for banking regulation," Papers 1608.05498, arXiv.org, revised Feb 2017.
  20. Patrick Kern & Axel Simroth & Henryk Zähle, 2020. "First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(1), pages 165-197, August.
  21. Sebastian Bayer & Timo Dimitriadis, 2018. "Regression Based Expected Shortfall Backtesting," Papers 1801.04112, arXiv.org, revised Sep 2019.
  22. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020. "On a robust risk measurement approach for capital determination errors minimization," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
  23. Chi, Yichun & Liu, Fangda, 2017. "Optimal insurance design in the presence of exclusion clauses," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 185-195.
  24. Fabio Bellini & Bernhard Klar & Alfred Müller, 2018. "Expectiles, Omega Ratios and Stochastic Ordering," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 855-873, September.
  25. Abdelaati Daouia & Gilles Stupfler & Antoine Usseglio-Carleve, 2024. "An expectile computation cookbook," Post-Print hal-04524319, HAL.
  26. Dingshi Tian & Zongwu Cai & Ying Fang, 2018. "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201807, University of Kansas, Department of Economics, revised Oct 2018.
  27. Abdelaati Daouia & Stéphane Girard & Gilles Stupfler, 2018. "Estimation of tail risk based on extreme expectiles," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 80(2), pages 263-292, March.
  28. Mohammedi, Mustapha & Bouzebda, Salim & Laksaci, Ali, 2021. "The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
  29. Andreas Eberl & Bernhard Klar, 2022. "Expectile‐based measures of skewness," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 373-399, March.
  30. 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.
  31. Ochoa Arellano, Maicol Jesús & Cascos Fernández, Ignacio, 2022. "Data depth and multiple output regression, the distorted M-quantiles approach," DES - Working Papers. Statistics and Econometrics. WS 35465, Universidad Carlos III de Madrid. Departamento de Estadística.
  32. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Working Papers hal-01367277, HAL.
  33. Mao, Tiantian & Stupfler, Gilles & Yang, Fan, 2023. "Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 173-192.
  34. Cornilly, D. & Rüschendorf, L. & Vanduffel, S., 2018. "Upper bounds for strictly concave distortion risk measures on moment spaces," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 141-151.
  35. Weiwei Li & Dejian Tian, 2023. "Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty," Papers 2304.04396, arXiv.org.
  36. Stephen Chan & Saralees Nadarajah, 2019. "Risk: An R Package for Financial Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1337-1351, April.
  37. Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2022. "Testing Granger Non-Causality in Expectiles," Working Papers 202207, University of Liverpool, Department of Economics.
  38. 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.
  39. Maume-Deschamps Véronique & Said Khalil & Rullière Didier, 2017. "Multivariate extensions of expectiles risk measures," Dependence Modeling, De Gruyter, vol. 5(1), pages 20-44, January.
  40. Maziar Sahamkhadam, 2021. "Dynamic copula-based expectile portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 209-223, May.
  41. Chen, Yu & Wang, Zhicheng & Zhang, Zhengjun, 2019. "Mark to market value at risk," Journal of Econometrics, Elsevier, vol. 208(1), pages 299-321.
  42. Zhiping Chen & Qianhui Hu, 2018. "On Coherent Risk Measures Induced by Convex Risk Measures," Methodology and Computing in Applied Probability, Springer, vol. 20(2), pages 673-698, June.
  43. Werner Ehm & Tilmann Gneiting & Alexander Jordan & Fabian Krüger, 2016. "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 505-562, June.
  44. 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.
  45. Farooq, Muhammad & Steinwart, Ingo, 2017. "An SVM-like approach for expectile regression," Computational Statistics & Data Analysis, Elsevier, vol. 109(C), pages 159-181.
  46. Marcelo Brutti Righi, 2015. "A composition between risk and deviation measures," Papers 1511.06943, arXiv.org, revised May 2018.
  47. Bellini, Fabio & Fadina, Tolulope & Wang, Ruodu & Wei, Yunran, 2022. "Parametric measures of variability induced by risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 270-284.
  48. Lauer Alexandra & Zähle Henryk, 2016. "Nonparametric estimation of risk measures of collective risks," Statistics & Risk Modeling, De Gruyter, vol. 32(2), pages 89-102, March.
  49. 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.
  50. Zongwu Cai & Ying Fang & Dingshi Tian, 2018. "Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201804, University of Kansas, Department of Economics, revised Oct 2018.
  51. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles," TSE Working Papers 23-1444, Toulouse School of Economics (TSE), revised Nov 2023.
  52. Xia Han & Liyuan Lin & Ruodu Wang, 2022. "Diversification quotients: Quantifying diversification via risk measures," Papers 2206.13679, arXiv.org, revised Mar 2024.
  53. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
  54. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2021. "ExpectHill estimation, extreme risk and heavy tails," Journal of Econometrics, Elsevier, vol. 221(1), pages 97-117.
  55. Walter Farkas & Ludovic Mathys & Nikola Vasiljević, 2021. "Intra‐Horizon expected shortfall and risk structure in models with jumps," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 772-823, April.
  56. Marcelo Brutti Righi, 2021. "Star-shaped acceptability indexes," Papers 2110.08630, arXiv.org, revised Jun 2022.
  57. Xia Han & Bin Wang & Ruodu Wang & Qinyu Wu, 2021. "Risk Concentration and the Mean-Expected Shortfall Criterion," Papers 2108.05066, arXiv.org, revised Apr 2022.
  58. Brenda López Cabrera & Franziska Schulz, 2017. "Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 127-136, January.
  59. Krätschmer Volker & Schied Alexander & Zähle Henryk, 2015. "Quasi-Hadamard differentiability of general risk functionals and its application," Statistics & Risk Modeling, De Gruyter, vol. 32(1), pages 25-47, April.
  60. Henryk Zähle, 2022. "A concept of copula robustness and its applications in quantitative risk management," Finance and Stochastics, Springer, vol. 26(4), pages 825-875, October.
  61. Cascos, Ignacio & Ochoa, Maicol, 2021. "Expectile depth: Theory and computation for bivariate datasets," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
  62. Belles-Sampera, Jaume & Guillen, Montserrat & Santolino, Miguel, 2016. "What attitudes to risk underlie distortion risk measure choices?," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 101-109.
  63. Amarante, Massimiliano & Ghossoub, Mario, 2021. "Aggregation of opinions and risk measures," Journal of Economic Theory, Elsevier, vol. 196(C).
  64. Canna, Gabriele & Centrone, Francesca & Rosazza Gianin, Emanuela, 2021. "Haezendonck-Goovaerts capital allocation rules," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 173-185.
  65. Zongxia Liang & Jianming Xia & Keyu Zhang, 2023. "Equilibrium stochastic control with implicitly defined objective functions," Papers 2312.15173, arXiv.org, revised Dec 2023.
  66. Cascos Fernández, Ignacio & Ochoa Arellano, Maicol Jesús, 2019. "Multivariate expectile trimming and the BExPlot," DES - Working Papers. Statistics and Econometrics. WS 28434, Universidad Carlos III de Madrid. Departamento de Estadística.
  67. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2015. "What attitudes to risk underlie distortion risk measure choices?," Working Papers 2015-05, Universitat de Barcelona, UB Riskcenter.
  68. Damiano Rossello, 2022. "Performance measurement with expectiles," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 343-374, June.
  69. Andreas Eberl & Bernhard Klar, 2023. "Stochastic orders and measures of skewness and dispersion based on expectiles," Statistical Papers, Springer, vol. 64(2), pages 509-527, April.
  70. Philipp Gschöpf & Wolfgang Karl Härdle & Andrija Mihoci, 2015. "TERES - Tail Event Risk Expectile based Shortfall," SFB 649 Discussion Papers SFB649DP2015-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  71. Bernardi, Mauro & Bottone, Marco & Petrella, Lea, 2018. "Bayesian quantile regression using the skew exponential power distribution," Computational Statistics & Data Analysis, Elsevier, vol. 126(C), pages 92-111.
  72. Paul Embrechts & Tiantian Mao & Qiuqi Wang & Ruodu Wang, 2021. "Bayes risk, elicitability, and the Expected Shortfall," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1190-1217, October.
  73. Zhiping Chen & Qianhui Hu & Ruiyue Lin, 2016. "Performance ratio-based coherent risk measure and its application," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 681-693, May.
  74. V. Maume-Deschamps & D. Rullière & A. Usseglio-Carleve, 2018. "Spatial Expectile Predictions for Elliptical Random Fields," Methodology and Computing in Applied Probability, Springer, vol. 20(2), pages 643-671, June.
  75. Denis Belomestny & Volker Krätschmer, 2017. "Optimal Stopping Under Probability Distortions," Mathematics of Operations Research, INFORMS, vol. 42(3), pages 806-833, August.
  76. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "An expectile computation cookbook," TSE Working Papers 23-1458, Toulouse School of Economics (TSE).
  77. Freddy Delbaen & Fabio Bellini & Valeria Bignozzi & Johanna F. Ziegel, 2014. "Risk measures with the CxLS property," Papers 1411.0426, arXiv.org.
  78. Pichler, Alois & Shapiro, Alexander, 2015. "Minimal representation of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 184-193.
  79. Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Functional estimation of extreme conditional expectiles," Econometrics and Statistics, Elsevier, vol. 21(C), pages 131-158.
  80. Bernardi, Mauro & Bignozzi, Valeria & Petrella, Lea, 2017. "On the Lp-quantiles for the Student t distribution," Statistics & Probability Letters, Elsevier, vol. 128(C), pages 77-83.
  81. C. Adam & I. Gijbels, 2022. "Local polynomial expectile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(2), pages 341-378, April.
  82. Fernanda Maria Müller & Marcelo Brutti Righi, 2018. "Numerical comparison of multivariate models to forecasting risk measures," Risk Management, Palgrave Macmillan, vol. 20(1), pages 29-50, February.
  83. Emmanuel Gobet & Isaque Pimentel & Xavier Warin, 2020. "Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations," Finance and Stochastics, Springer, vol. 24(3), pages 633-675, July.
  84. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
  85. Arab, Idir & Lando, Tommaso & Oliveira, Paulo Eduardo, 2022. "Comparison of Lp-quantiles and related skewness measures," Statistics & Probability Letters, Elsevier, vol. 183(C).
  86. Stéphane Girard & Gilles Stupfler & Antoine Usseglio‐Carleve, 2022. "Nonparametric extreme conditional expectile estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 78-115, March.
  87. Tang, Qihe & Yang, Fan, 2014. "Extreme value analysis of the Haezendonck–Goovaerts risk measure with a general Young function," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 311-320.
  88. Andrea Teruzzi, 2023. "Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach," Papers 2311.17239, arXiv.org.
  89. Eberl, Andreas & Klar, Bernhard, 2020. "Asymptotic distributions and performance of empirical skewness measures," Computational Statistics & Data Analysis, Elsevier, vol. 146(C).
  90. 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.
  91. Tobias Fissler & Hajo Holzmann, 2022. "Measurability of functionals and of ideal point forecasts," Papers 2203.08635, arXiv.org.
  92. Fabio Bellini & Tolulope Fadina & Ruodu Wang & Yunran Wei, 2020. "Parametric measures of variability induced by risk measures," Papers 2012.05219, arXiv.org, revised Apr 2022.
  93. Maria Arduca & Cosimo Munari, 2021. "Risk measures beyond frictionless markets," Papers 2111.08294, arXiv.org.
  94. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
  95. Mao, Tiantian & Yang, Fan, 2015. "Risk concentration based on Expectiles for extreme risks under FGM copula," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 429-439.
  96. Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
  97. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, vol. 70(C).
  98. Tiantian Mao & Jun Cai, 2018. "Risk measures based on behavioural economics theory," Finance and Stochastics, Springer, vol. 22(2), pages 367-393, April.
  99. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
  100. Alexander Wagner & Stan Uryasev, 2019. "Portfolio Optimization with Expectile and Omega Functions," Papers 1910.14005, arXiv.org.
  101. Gao, Suhao & Yu, Zhen, 2023. "Parametric expectile regression and its application for premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 242-256.
  102. Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, vol. 2(1), pages 1-24, February.
  103. Valeria Bignozzi & Luca Merlo & Lea Petrella, 2022. "Inter-order relations between moments of a Student $t$ distribution, with an application to $L_p$-quantiles," Papers 2209.12855, arXiv.org.
  104. Ruodu Wang & Ričardas Zitikis, 2021. "An Axiomatic Foundation for the Expected Shortfall," Management Science, INFORMS, vol. 67(3), pages 1413-1429, March.
  105. Xia Han & Liyuan Lin & Ruodu Wang, 2023. "Diversification quotients based on VaR and ES," Papers 2301.03517, arXiv.org, revised May 2023.
  106. Pesenti, Silvana M. & Millossovich, Pietro & Tsanakas, Andreas, 2019. "Reverse sensitivity testing: What does it take to break the model?," European Journal of Operational Research, Elsevier, vol. 274(2), pages 654-670.
  107. Xia Han & Ruodu Wang & Qinyu Wu, 2023. "Monotonic mean-deviation risk measures," Papers 2312.01034, arXiv.org.
  108. Righi, Marcelo Brutti & Borenstein, Denis, 2018. "A simulation comparison of risk measures for portfolio optimization," Finance Research Letters, Elsevier, vol. 24(C), pages 105-112.
  109. Volker Kratschmer & Alexander Schied & Henryk Zahle, 2014. "Quasi-Hadamard differentiability of general risk functionals and its application," Papers 1401.3167, arXiv.org, revised Feb 2015.
  110. Francesco Cesarone & Rosella Giacometti & Manuel Luis Martino & Fabio Tardella, 2023. "A return-diversification approach to portfolio selection," Papers 2312.09707, arXiv.org.
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