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Search: subject:"Elicitability"
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Robustness
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Bellini, Fabio
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What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Emmer, Suzanne
;
Kratz, Marie
;
Tasche, Dirk
-
HAL
-
2013
desirable properties of risk measures like coherence, comonotonic additivity, robustness and
elicitability
. We check VaR, ES and …
Persistent link: https://www.econbiz.de/10010821003
Saved in:
2
Risk measures with the CxLS property
Delbaen, Freddy
;
Bellini, Fabio
;
Bignozzi, Valeria
; …
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 433-453
Persistent link: https://www.econbiz.de/10011471250
Saved in:
3
Generalized quantiles as risk measures
Bellini, Fabio
;
Klar, Bernhard
;
Müller, Alfred
; …
- In:
Insurance: Mathematics and Economics
54
(
2014
)
C
,
pp. 41-48
minimization of a suitable asymmetric loss function. All these generalized quantiles share the important property of
elicitability
…
Persistent link: https://www.econbiz.de/10011046669
Saved in:
4
Generalized quantiles as risk measures
Bellini, Fabio
;
Klar, Bernhard
;
Müller, Alfred
; …
- In:
Insurance / Mathematics & economics
54
(
2014
),
pp. 41-48
Persistent link: https://www.econbiz.de/10010259683
Saved in:
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