Inter-order relations between equivalence for \(L_p\)-quantiles of the Student's \(t\) distribution
type: Item
instance of: scholarly article
title: Inter-order relations between equivalence for \(L_p\)-quantiles of the Student's \(t\) distribution
zbMATH Open document ID: 1537.91238
author: Valeria Bignozzi
author: L. Merlo
author: Lea Petrella
published in: Insurance Mathematics \& Economics
publication date: 2024-05-24T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7852743
zbMATH Keywords: expectiles
zbMATH Keywords: generalized quantiles
zbMATH Keywords: partial moments
zbMATH Keywords: quantiles
zbMATH Keywords: risk measures
MaRDI profile type: Publication
cites work: Relating quantiles and expectiles under weighted-symmetry
cites work: Comparison of \(L_p\)-quantiles and related skewness measures
cites work: Coherent measures of risk
cites work: Generalized quantiles as risk measures
cites work: On the \(L_p\)-quantiles for the Student \(t\) distribution
cites work: M-quantiles
cites work: Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
cites work: Robustness and sensitivity analysis of risk measurement procedures
cites work: Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
cites work: Risk measures with the CxLS property
cites work: Generalized PELVE and applications to risk measures
cites work: Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization
cites work: Making and Evaluating Point Forecasts
cites work: Expectiles and \(M\)-quantiles are quantiles
cites work: PELVE: probability equivalent level of VaR and ES
cites work: Asymmetric Least Squares Estimation and Testing
cites work: Elicitability and backtesting: perspectives for banking regulation
cites work: Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
cites work: Generalizing Koenker's distribution
DOI: 10.1016/J.INSMATHECO.2024.02.001
description: scientific article; zbMATH DE number 7852743