Coherence and elicitability (Q2831006)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Coherence and elicitability |
scientific article; zbMATH DE number 6646428
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Coherence and elicitability |
scientific article; zbMATH DE number 6646428 |
Statements
1 November 2016
0 references
coherent risk measure
0 references
decision theory
0 references
elicit ability
0 references
expected shortfall
0 references
expectiles
0 references
law-invariant risk measure
0 references
spectral risk measure
0 references
Coherence and elicitability (English)
0 references
The notion of elicitability is introduced, and its importance in point forecasting is described.NEWLINENEWLINEA brief introduction to law-invariant coherent risk measures is also given.NEWLINENEWLINEThe latter topic is a basic for the main results of the paper which show that law-invariant spectral risk measures are not elicitable, and that the expectiles are the only elicitable law-invariant coherent risk measures.
0 references
