Bellini, Fabio; Klar, Bernhard; Müller, Alfred; … - In: Insurance: Mathematics and Economics 54 (2014) C, pp. 41-48
In the statistical and actuarial literature several generalizations of quantiles have been considered, by means of the minimization of a suitable asymmetric loss function. All these generalized quantiles share the important property of elicitability, which has received a lot of attention...
