Conditional expectiles, time consistency and mixture convexity properties
We study conditional expectiles, defined as a natural generalisation of conditional expectations by means of the minimisation of an asymmetric quadratic loss function. We show that conditional expectiles can be equivalently characterised by a conditional first order condition and we derive their mai...
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| Veröffentlicht in: | Insurance, mathematics & economics mathematics & economics, 2018-09, Vol.82, p.117-123 |
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| container_end_page | 123 |
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| container_title | Insurance, mathematics & economics |
| container_volume | 82 |
| creator | Bellini, Fabio Bignozzi, Valeria Puccetti, Giovanni |
| description | We study conditional expectiles, defined as a natural generalisation of conditional expectations by means of the minimisation of an asymmetric quadratic loss function. We show that conditional expectiles can be equivalently characterised by a conditional first order condition and we derive their main properties. For possible applications as dynamic risk measures, we discuss their time consistency properties. |
| doi_str_mv | 10.1016/j.insmatheco.2018.07.001 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0167-6687 |
| ispartof | Insurance, mathematics & economics, 2018-09, Vol.82, p.117-123 |
| issn | 0167-6687 1873-5959 |
| language | eng |
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| source | Access via ScienceDirect (Elsevier) |
| subjects | Conditional expectiles Consistency Convexity Dynamic risk measures Insurance premiums Mixture concavity Properties (attributes) Risk Risk management Sequential consistency Supermartingale property Time consistency |
| title | Conditional expectiles, time consistency and mixture convexity properties |
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