Multivariate extensions of expectiles risk measures

Author:

Maume-Deschamps Véronique1,Rullière Didier2,Said Khalil1

Affiliation:

1. 1Université de Lyon, Université Lyon 1, Institut Camille Jordan UMR 5208, Lyon, France

2. 2Université de Lyon, Université Lyon 1, Laboratoire SAF EA 2429, Lyon , France

Abstract

Abstract This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference34 articles.

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