Conditional expectiles, time consistency and mixture convexity properties

DOI10.1016/j.insmatheco.2018.07.001zbMath1416.91156OpenAlexW2814926274WikidataQ129492317 ScholiaQ129492317MaRDI QIDQ1799643

Fabio Bellini, Giovanni Puccetti, Valeria Bignozzi

Publication date: 19 October 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.07.001

zbMATH Keywords

sequential consistencytime consistencydynamic risk measuresconditional expectilesmixture concavitysupermartingale property

Mathematics Subject Classification ID

Related Items (10)

Performance measurement with expectiles ⋮ The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data ⋮ Parametric measures of variability induced by risk measures ⋮ Bayes risk, elicitability, and the Expected Shortfall ⋮ Dimension reduction techniques for conditional expectiles ⋮ Law invariant risk measures and information divergences ⋮ The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors ⋮ On the nonparametric estimation of the functional expectile regression ⋮ Measurability of functionals and of ideal point forecasts ⋮ Local linear estimate of the functional expectile regression

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