One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles
Author:
Affiliation:
1. Department of Mathematical Sciences, University of Essex, Colchester, Essex CO4 3SQ, UK.
2. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo N2L 3G1, ON, Canada.
Funder
Natural Sciences and Engineering Research Council of Canada
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Reference27 articles.
1. Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
2. Short Communication: An Axiomatization of $\Lambda$-Quantiles
3. Scoring interval forecasts: Equal-tailed, shortest, and modal interval
4. Ordinal aggregation and quantiles
5. AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS
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