Elicitable distortion risk measures: a concise proof

DOI10.1016/j.spl.2015.02.004zbMath1320.91097OpenAlexW2059557741MaRDI QIDQ2348333

Ruodu Wang, Johanna F. Ziegel

Publication date: 11 June 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://boris.unibe.ch/73247/8/distortion-v3.pdf

zbMATH Keywords

value-at-riskelicitabilitydistortion risk measures

Mathematics Subject Classification ID

Related Items (8)

Higher order elicitability and Osband's principle ⋮ On the Measurement of Economic Tail Risk ⋮ Bayes risk, elicitability, and the Expected Shortfall ⋮ Analytical approximation for distorted expectations ⋮ Multivariate extensions of expectiles risk measures ⋮ Joint generalized quantile and conditional tail expectation regression for insurance risk analysis ⋮ A Theory for Measures of Tail Risk ⋮ Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions

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• The Dual Theory of Choice under Risk
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Elicitation of Personal Probabilities and Expectations
• Robust Statistics

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