Short Communication: An Axiomatization of $\Lambda$-Quantiles

DOI10.1137/21M1444278zbMath1486.91096arXiv2109.02360MaRDI QIDQ5071491

Fabio Bellini, Ilaria Peri

Publication date: 21 April 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.02360

zbMATH Keywords

quantileslocalityrisk measures\( \Lambda\)-quantilesordinal covariance

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistical methods; risk measures (91G70)

Related Items (2)

Risk contributions of lambda quantiles* ⋮ One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles

Cites Work

• Verification of internal risk measure estimates
• RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION
• AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS
• On the properties of the Lambda value at risk: robustness, elicitability and consistency
• On elicitable risk measures

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