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Generalized quantiles as risk...
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Physica A: Statistical Mechanics and its Applications
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81
Testing forecast accuracy of expectiles and quantiles with the extremal consistent loss functions
Yen, Yu-min
;
Yen, Tso-Jung
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 733-758
Persistent link: https://www.econbiz.de/10012792867
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82
Expectile
CAPM
Hu, Wei
;
Zheng, Zhenlong
- In:
Economic modelling
88
(
2020
),
pp. 386-397
Persistent link: https://www.econbiz.de/10012417246
Saved in:
83
Optimal reinsurance with
expectile
under the Vajda condition
Chen, Yanhong
- In:
Journal of risk
23
(
2020/2021
)
1
,
pp. 113-144
Persistent link: https://www.econbiz.de/10012500128
Saved in:
84
Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers
Cai, Jun
;
Mao, Tiantian
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1065-1092
Persistent link: https://www.econbiz.de/10012307399
Saved in:
85
Relative bound and asymptotic comparison of
expectile
with respect to expected shortfall
Tadese, Mekonnen
;
Drapeau, Samuel
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 387-399
Persistent link: https://www.econbiz.de/10012294144
Saved in:
86
Tail asymptotics of generalized deflated risks with insurance applications
Ling, Chengxiu
;
Peng, Zuoxiang
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 220-231
Persistent link: https://www.econbiz.de/10011630653
Saved in:
87
Assessing tail risk using
expectile
regressions with partially varying coefficients
Cai, Zongwu
;
Fang, Ying
;
Tian, Dingshi
-
2018
Persistent link: https://www.econbiz.de/10011965749
Saved in:
88
Econometric modeling of risk measures : a selective review of the recent literature
Tian, Dingshi
;
Cai, Zongwu
;
Fang, Ying
-
2018
Persistent link: https://www.econbiz.de/10011965814
Saved in:
89
Risk measures based on behavioural economics theory
Mao, Tiantian
;
Cai, Jun
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 367-393
Persistent link: https://www.econbiz.de/10011945793
Saved in:
90
Optimal insurance design in the presence of exclusion clauses
Chi, Yichun
;
Liu, Fangda
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 185-195
Persistent link: https://www.econbiz.de/10011774821
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