Extreme M-quantiles as risk measures: from L1 to Lp optimization
The class of quantiles lies at the heart of extreme-value theory and is one of the basic tools in risk management. The alternative family of expectiles is based on squared rather than absolute error loss minimization. It has recently been receiving a lot of attention in actuarial science, econometri...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Published: |
Bernoulli Society for Mathematical Statistics and Probability
2019
|
| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/45682/ |