A class of distortion measures generated from expectile and its estimation
From MaRDI portal
Publication:5078121
DOI10.1080/03610926.2018.1465085OpenAlexW2903529751WikidataQ128826765 ScholiaQ128826765MaRDI QIDQ5078121
Publication date: 20 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1465085
Cites Work
- Unnamed Item
- Asymmetric Least Squares Estimation and Testing
- Assessing value at risk with CARE, the conditional autoregressive expectile models
- Expectile asymptotics
- Empirical likelihood ratio confidence regions
- Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
- Empirical likelihood inference for Haezendonck-Goovaerts risk measure
- Weighted premium calculation principles
- Optimal expectile smoothing
- Smoothed empirical likelihood confidence intervals for quantiles
- Empirical likelihood and general estimating equations
- Expectiles and \(M\)-quantiles are quantiles
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
- Weak convergence of quantile and expectile processes under general assumptions
- Optimal reinsurance with premium constraint under distortion risk measures
- Quantiles, expectiles and splines
- Coherent Measures of Risk
- COHERENCE AND ELICITABILITY
- Empirical Processes with Applications to Statistics
- Risk Measures and Comonotonicity: A Review
- M-quantiles
- On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function
- Risk-adjusted credibility premiums using distorted probabilities
- The Dual Theory of Choice under Risk
- Discussion: The beauty of expectiles
- Expectile and quantile regression—David and Goliath?
- Encyclopedia of Quantitative Risk Analysis and Assessment
- Statistical Inference for Expectile‐based Risk Measures
This page was built for publication: A class of distortion measures generated from expectile and its estimation
